They're definitely illegal in England (sent my brother over a couple of neon sticks for his car, only lasted a week before the cops pulled him over!) The cops said that any unauthorized lights are illegal (whatever that means?) and that his was especially bad in that they were blue...
They're not that expensive, least not in Japan. Have heard they may be illegal here too, but I have been driving around with them for nearly a year now and never had any trouble.
I'm driving around with blue neons, but you can get green or pink (if ya so inclined!) You need to get reasonably powerful lamps otherwise the ambient lighting (street lamps) washes a lot of the effect away!