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.
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