Need a wiring diagram showing how to wire 2 lights controlled by a single switch where the power comes in to the switch box.

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Wish I could "paint" that good. Perfect example!

What if the switch has 3 leads (rotary switch)? Leads are black, blue, red

What kind of switch is it. A single pole switch should not have leads like that. Sounds like you are using a 3-way switch.