The neon sign transformer, in its classic form, is a large and heavy tar-filled transformer with separate primary and secondary windings. The primary winding is fed with your favorite local AC line voltage, and the secondary winding puts out a high voltage, usually 5,000 volts or more, at a few milliamps, suitable for lighting large cold cathode lamps and neon signs. Older neon sign transformers are just that; a transformer. These are also quite suitable for powering a Jacob's Ladder, or for use as the primary of a Tesla Coil (and other dangerous, fun high voltage devices).
Newer neon signs are usually powered by a switching power supply with a much smaller transformer which provides enough power to light the tubes brightly, runs cool, is more efficient, but is totally unsuitable for... alternate uses. These units are usually housed in plastic and convert the incoming AC to around 40 Khz.