THE PLT WAS ON A FLT FM GREEN BAY, WI TO STEAMBOAT SPGS (SBS), CO, WITH STOPS AT SIOUX CITY & CHEYENNE (CYS). AT 2245, HE CONTACTED DENVER FSS, STATED HE WAS ON FINAL APCH TO SBS & SAID THE RWY LGTS HAD GONE OUT. HE THEN ASKED FOR THE FREQFOR 'PUTTING THEM BACK ON.' THE FSS SPECIALIST CHECKED THE ARPT DIRECTORY & FND NO FREQ LISTED FOR SBS, BUT TOLD THE PLT HE CLD 'TRY FREQ 122.8 . . .' SOON THEREAFTER, THE PLT SAID HE HAD LGTS & CANCELLED HIS FLT PLAN. AT 2251, THE ACFTHIT PWR LINES, CRASHED & BURNED APRX MIDWAY BTN SBS & THE YAMPA VALLEY ARPT AT HAYDEN (HDN), CO. THE CRASH SITE WAS IN AVALLEY AREA AT AN ELEV OF ABOUT 6000' MSL. ELEV OF THE ARPTS AT SBS & HDN WERE 6875' & 6597', RESPECTIVELY. THE RWY LGTSAT SBS WERE PRIVATELY OWNED BY ROCKY MOUNTAIN AIRWAYS & WERE TURNED OFF SOMETIME AFTER THE LAST FLT DEPD SBS AT 2025. THE RWY LGTS AT HDN WERE PLT CONTROLLED BY TUNING THE ACFT RADIO TO 122.8 MHZ & DEPRESSING THE MIKE BUTTON 3 TO 7 TIMES,DEPENDING ON THE DESIRED INTENSITY. THE FREQ AT SBS WAS ALSO 122.8 MHZ. NO PREIMPACT MECH PROBLEM WAS FND.