Zak28 - Neon lamps, which are more commonly fitted in side switches than LEDs, need around 90V across them before they start to conduct. They will work on AC or DC but they need high voltage to ionize the gas inside them before they conduct at all.
You can see why they are used in preference to LEDs if you do some math: an LED running at say 10mA would need a series resistor of (250-Vf)/If Ohms, if Vf is around 2V it would have to be 248/.01 = 24.8K and rated at more than 2.5W so it would run very hot!
Brian.