Neon would probably be more common, because all the bulb requires is a series resistor (perhaps 220k, but value needs to be properly calculated for your application). If the bulb emits a lovely orange glow, then it's almost certainly a neon (such as the famous NE-2).
LEDs are posssible, but they require slightly more elaborate power supply (series capacitor, which are probably too large and bring safety requirements). I don't recall ever seeing LEDs used in the application you describe (molded into the cord).