Do I need AFCI protection on new lighting circuits or just for outlets?
You may be thinking of GFCI, whose purpose is to protect humans from shocks, and is mostly relevant on receptacles.  

The purpose of AFCI is to protect structures from bad wiring by tripping when wires arc from a bad connection.   That is relevant anywhere there is wiring.   In fact, it's a pretty good substitute for rewiring buildings with problem wiring, such as really old houses or those with aluminum.  They would not be useless on lighting circuits.    

Anyway, NEC 2014 requires AFCI for all outlets in bedrooms and many other habitable rooms.   The word "outlet" in NEC connotes any appliance that is served by electricity, including installed laods like lights, smart switches and the like.  This applies to new construction and remodels, not minor work.  

In my opinion, the urgency for AFCIs in new construction largely relates to builders' love of very cheap parts and wiring methods, and I'm specifically talking about backstabs.  Though receptacles which wholesale for 38 cents each aren't helping.  

You can haggle with your AHJ (the inspector) about whether AFCIs are needed for a panel upgrade.  I would want to add AFCIs because it would mean I would then feel comfortable not replacing the old wiring.