I am not an electrician. You should be using a licensed and bonded electrician. Your local municipality may require a permit. Mains voltages can KILL YOU DEAD.
That said, I think I know what I'm doing, but use this advice at your own risk. I would recommend you don't wire lights after the GFCI, unless the bulbs will be outside and potentially exposed to the weather. That's what you describe in your second diagram, but there are some problems with it:
- As another answer mentioned, bulbs should be wired in parallel, not series. That is to say, from the switch, there should be hot to each bulb, with neutral returning from each.
- The outlets protected by the GFCI should also be in parallel. That means, the load terminal on the GFCI should be wired to the hot terminal on both extra outlets.
- In order to detect current leakage (the GFCI's main purpose), the neutral wire of the protected outlets need to feed back through the GFCI. That is why your GFCI has five terminals: Gnd, Line Hot, Line Neutral, Load Hot, and Load Neutral.
Since I don't feel like making a drawing, I'll explain in terms of electrical nets. IOW, for each net below, there should be a connection between each device listed after the net's name (and wire color).
- Ground (green): from electrical panel, to every single device with a green screw (just wire them all together in the back of each box)
- Line (black): from electrical panel, to light switch, and to GFCI (Line Hot)
- Switched Line (black): from light switch, to both bulbs
- Isolated Line (black): from GFCI (Load Hot), to both outlets
- Isolated Neutral (white): from both outlets, to GFCI (Load Neutral)
- Neutral (white): from both bulbs (via wire nut in switch box), and from GFCI (Line Neutral), to electrical panel
If your lightbulbs will be outdoors and you do want to protect them from ground faults, then the wire to the switch box (both line and neutral) should come from the Load side of the GFCI, rather than directly from the panel (or the GFCI's Line side). You can physically wire it from the GFCI box, or from either of the outlet boxes, whichever is closest to your switch box.
There may be other code requirements in your area that a local electrician can help you with. Eg., use 12AWG for 20A breakers, or 14AWG for 15A, and staple the romex wires to the stud close to the box they run into. Leave about 10-12" of wire hanging out when roughing things in, and strip the tips as specified in the wire nut packaging, or the QuickWire push-in hole guides. Use wire nuts rated for the number and gauge of wires each will connect. Don't burn your house down. :)