Recently I Stumble Upon a really interesting blog. He was a photographer and he did alot of illusionist photo's and worked with all types of lighting. Most recently, there was a lot of photo's that had neon lights in them, in designs and using them as props sort of like this.
At first i thought it was added into the photo later as an effect, like it was drawn on with a software program. Then i started reading about it and it turns out it wasn't drawn on, he had actually drawn the objects and only the light trail shows up on the camera. It's called light painting and there's actually alot of ways you can do it. I googled it and found one guy who explains how it's done and all the techniques he uses to get different effects. You can use big fireworks, sparklers, he even set steel wool on fire in one of them and it created a shower of sparks that when captured on films looks like it's actually raining sparks.