Draw your shape and add the colour you want then go to the tool bar: Effects > Stylize > Outerglow.
Experiment with the colours and transparencies. hope this helps.

In illustrator cs4 you can gaussian blur vector objects. As you can see, it really helps alot.

Well, these glows are basically Stylize Effects (Outerglow) + Blend Tool.

Blend Tool is to make the thin line with a transition of lightness, wich causes the impression of a glow.

The Outerglow is basically an arbitrary effect for making the neon look.

If you don't know how to use the Blend Tool, Google It. It's pretty easy.

Hope it helps.

You can also experiment with the blend tool mixed with gaussian blur. Use a calligraphy brush to make a curve, copy and paste behind, thicken the stroke and change the color. Then select both and hit apple b. You have to mess around with colors, brushed and blend steps options. Then past another one behind and gaussian blur it.

Try using your brush to make a shape you want, copy and paste it on top, and add a blur to the version on the bottom. Another way is to use the outer glow effect directly on your shape, and play with the glow radius, make it a small radius, but bright in opacity, and set the opacity mode to normal instead of screen, depending on how dark your background is. Good luck!