How can I connect multiple lights to a switch downstream?

You'll want to run your 12/3 from the panel to the switch location. In the panel hook your black wire to your circuit breaker, the white wire to neutral and ground to ground. You can cap the red wire and leave a note to what you're doing. At each light location connect your fixture white to your white feed and your other fixture wire, probably black, to the red feed wire. In the switch box, pigtail the feed black to the switch and to your outlet. Pigtail the white to the outlet and to the extra light. Pigtail the red to the switch and to the extra light.