I know that neon is used in advert signs due to its inertness. However, I am not entirely sure how the inertness is exploited. I think it is because Ne being inert means that after electricity frees an electron we can count on it returning to the ion left behind to emit a photon, whereas for more active elements, the gas may just exist as a plasma?
Ne is used,
- Because it caused the red glow inside the tube, infact you can get a whole array of colors using different noble gases. eg. Ne => Red, Xe => Whitish Blue, Ar => Blue etc. Check Wikipedia for more.
- Because even when it exist as plasma, it doesn't react with the filament inside the tube or the glass walls, this helps in the longer life of lamp, and as pointed out by @J.M. this technique finds its use in incandescent lamp where Argon is generally used.