You can always carry a torch for such occasions. Just equip it like a weapon. I just let my follower Erik have a torch so I don't have to bother with it. He automatically carries it when it gets dark, and the light from it lights my way nicely.
There are also two spells that I know of: Candlelight, that makes a little ball of light follow you around, and Magelight, a ball of light that sticks to whatever surface you throw it at, and lights up the surrounding area. You can buy both spell tomes from various vendors.