Yes, you can sell old Christmas lights at your local scrap yard.  These lights have a value due to their copper wires.  Some yards will buy them as-is (with bulbs) and others will need you to remove the bulbs from the lights.  You should call ahead and ask them.  Christmas lights have small gauge wires and are not worth as much as bigger gauge wires, such as your typical house wiring, but are still worth scrapping instead of throwing out.