Can't use your lights anymore because we're slathering your data around and GDPR
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There are quite a few that fit that requirement, but among the WiFi bulbs I know that LiFX devices all support a local API with official documentation[1].
I was able add support[2] for the LiFX bulbs to Mozilla's IoT gateway because of that local API.
These are all largely closed devices though, the real solution is to get devices where the firmware is under your own control. However that's easier said than done, as it constrains your choices quite a bit.
Granted, this is why I don’t buy IoT devices with crappy cloud control panels, since they can stop working whenever the company behind them decides they’re not worth maintaining.