Why are noble gases used in "neon" lamps
Strictly speaking "neon" lamps contain neon but the term is often used colloquially for a whole range of coloured lighting probably because the red neon tubes are one of the commonest.

But it isn't just noble gases that are used, though they are the most common. Carbon dioxide is sometimes used. And there are many discharge lamp that add metals or metal salts, though these are more common in other uses such as high intensity street lighting.

The noble gases and mixtures of them are commonly used in coloured advertising lighting because they offer a range of colours in a simple low-pressure discharge lamp without the added complexity of fluorescent coatings (as in common fluorescent tubes) or high-pressure systems (as is required in high intensity systems used in street or industrial lighting). Advertising signage often consists of long glass tubes in custom shapes and the simplicity of simple gas discharge makes the results cheaper than more sophisticated alternatives. 

The colours are derived from the energy levels of the electrons in the gases and it just so happens that the range of those energy levels in noble gases correspond to a useful variety of colours. 

There is a good summary of the colours (and other types of discharge lamps) in this Wiki article.