2 Answers
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Have you ever walked in downtown Manhattan and saw old neon signs where the color wrapping has rubbed off? Well a lot of neon signs are originally producing a white light like the florescent bulbs in offices but if someone has a true neon sign (which are more expensive) then the color is caused by the electron in the gas falling from some energy level to a lower potential, releasing a photon of a certain energy. With E = hf where h is planks constant and f being the frequency, the change in energy levels give off discrete frequencies and so different colors.
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The excitation or ionization of the neon atoms/molecules.