While you can pay to walk or drive through some Christmas light displays, there are plenty that have free admission, too. One of my favorites: Layton City's display at Layton Commons Park. You can walk through the park to see the lights, or if it's too cold, you can just drive through - multiple times if you wish. (Get directions here.)
Another fun display is in Ogden, which lights up a Christmas village each year. For more information about that display, pictured above, go here.
Neither of those displays are as large as the lights at Temple Square in downtown Salt Lake City, which is another great option if you want to walk around and see a lot of lights.