Most gases are colourless because they do not absorb visible light and have a very low density. However, one expcetion is chlorine: http://www.periodicvideos.com/videos/017.htm which is green in colour.
Another way to make a gas coloured is to electrify it!
For example, Neon is usually colourless but will produce a red-orange glow if a current is run through it. This is how Neon lights work.
Other gases can produce different colours, although it is often easier to coat the inside of the tube with a fluorescent coating and use mercury vapour inside. When the mercury vapour has a current passed through it it gives off ultraviolet light (invisible to the human eye) but the interaction between the ultraviolet and and the coating produces a visible light. Its colour depends on the type of coating used.
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