In my last home we drilled through a wall and put an outside extension through, then sealing the hole with lots of silicon. We lit up the whole garden for parties.
The cables on our outdoor lights are thin enough to feed in at the hinge side of the door or window which can then by closed and locked. We are lucky that we have available sockets nearby
I've never understood why people put lights on the outside of their house. I assume they don't sit outside in the garden in December to look at them so it must be to show off to the neighbours?