(a) Sayyiduna Anas (may Allah be pleased with him) narrates that the Messenger of Allah (peace and blessings be upon him) said: "O Anas, keep your gaze in prayer on the place where you prostrate."
(b) It has been narrated to us from Mujahid and Qatadah (may Allah have mercy on them both) that they both disliked closing the eyes in prayer.
A musnad hadith has also been narrated on this, but it is of no worth.
Hadith Referenceالسنن الكبرى للبيهقي / كتاب الصلاة / 3545