Neon, being a noble gas, is very unreactive, forming no stable chemical compounds. Also, under normal circumstances, just like any other gas, it does not conduct electricity. However, if the voltage (ie the force behind the electricity - called the electromotive force) is high enough, gases will conduct. A good example of this is when lightning passes through the air. The voltages involved have to run into the hundreds of thousands or millions, and under these conditions the electricity passes through the air causing the atoms to ionise (split into charged particles called ions and free electrons) and creating the characteristic blue/white flash as the lightning strikes. Neon behaves in the same way, so if a high voltage is applied, it will conduct, ionising in the same way as air in a lightning strike. The colour obtained from neon, however, is not bluish white but red.
There are glass tubes that have electrical terminals at both ends, and neon / argon/ noble gas in the tube.
When a high electrical voltage is applied to the terminals an electrical current flows through the tube of neon gas. The electrical current knocks electrons from the neon gas molecules, creating what are known as ions. When these moving electrons recombine with other ions in the tube different lighting effects are observed.