In oscilloscope CRT circuits, the neon lamps usually serve as low leakage low capacitance shunt protection to prevent the grid to cathode and heater to cathode voltages from exceeding their maximum limits. Since the cathode voltage is in the range of -2000 to -3000 volts, this is pretty important. Often they will flash when power is applied or removed.
Tube based oscilloscopes may use them for the same purpose at various points.
In cheap designs, they might be used as voltage references.