If by neon, you mean actual neon bulbs with different colors, it’s a tube filled with a low pressure gas. Neon is one such gas. Applying enough voltage ionizes the gas which lets current flow and generates light. Which gas is used determines the color.
LEDs are semi conductors made in a such a way that there are “electron holes”. When you add electricity, the electrons “fall” into the holeand that generates light.
Incandescent bulbs have a metal filament in them which will heat up and glow when you let current flow through it.
CCFL bulbs have a gas in them like neon bulbs, usually mercury vapor. However, they are coated with phosphor. The UV light generated by the mercury vapor excites the phospor and gives you white light. White LED bulbs can work like that too, except a LED generates the light that excited the phosphor coating.
Gas discharge tubes, the “neon art” sort of light can be made in many colors by using different gasses. Almost all elemental gasses are usable, and some molecular gasses, so there are lots of choices.
The key to the color in a gas discharge tube is the amount of energy released when an outer electron falls from its excited state to its stable state. This is a physical property of the gas, influenced by how many protons are in the atom’s nucleus.
LEDs make light with a completely different sort of quantum process. Two different semiconducting materials are next to each other and photons are released as electrons move across the band gap region. There are very, very few semi-conducting materials that can be made into uniform crystals. That why blue LEDs were such a big deal when they were finally made. Even today, there are 5-6 different colors that can be made with an LED junction. When an LED-based light makes many colors it’s by mixing red, green, blue, and maybe white light.
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