I am not sure what you are referring to by "less effective". Neon lamps are valued for the decorative effects of the multitude of colors that they produce. In terms of efficacy (lumens per watt), white neon lamps are relatively good, at up to high 70's lumens/watt, but colored neon lamps are much lower, as are colored LED's.
The website of the attached link, immediately below, reports efficacy of various neon lamps with a comparison to white LED's. It reports white LED's as 10 to 25 lumens/watt, however this is 2006 information and LED technology has improved. Some LED's now have efficacies as high as 50 to 75 lumens/watt, as indicated in the report of the second website below, exceeding efficiencies of compact fluorescent fixtures and approaching the efficiency of some of the linear fluorescent lamps, the best of which are a bit in excess of 100 lumens/watt.
The website of the attached link, immediately below, reports efficacy of various neon lamps with a comparison to white LED's. It reports white LED's as 10 to 25 lumens/watt, however this is 2006 information and LED technology has improved. Some LED's now have efficacies as high as 50 to 75 lumens/watt, as indicated in the report of the second website below, exceeding efficiencies of compact fluorescent fixtures and approaching the efficiency of some of the linear fluorescent lamps, the best of which are a bit in excess of 100 lumens/watt.