I'll assume you're talking about the little indicator lamps, not the fancy store signs. Once it's ionized a lower voltage will keep it ionized and keep current flowing through the lamp. The light comes from the excited neon ions. The only other component involved is a series resistor to limit the current to something like a few milliamps. If you mean the fancy store signs, the only other component involved is a high voltage transformer.
Different colors come from different combinations of gases.
Neon lamps and neon signs are filled with fairly low pressure gas. It's not a vacuum, but it's at much lower than atmospheric pressure. There is a cathode and anode, usually one at each end of the tube. When the electrons are excited by a potential, they are placed on higher energy levels. Now we'll move on to fluorescent tubes.