The most basic is by using a different gas. Colors can also be created by coating the inside of the glass tubes with phosphors. Phosphor coated tubes are sold in a wide range of colors ranging from purple to green, as well as warm and cool whites. When a more saturated color is called for, there are also tubes that are made with colored glass. Names like Bromo Blue and Ruby Red accurately describe the richness of the color emitted by these tubes, but this glass is more difficult to make and is sold at a premium price.
Neon signs operate at a high voltage, but with very low current.
The zap you would feel if you accidentally were shocked is a surprise, but not dangerous. It's the amps. Improperly wired signs can start a fire, but the risk is about the same as with any improperly wired electrical device. Neon sign technology was first successfully demonstrated in France in 1910 by Georges Claude. His first patent was granted in 1915, and by 1930 there was a booming neon sign industry.