This process is typically done with electrical energy rather than gases - many otherwise colorless gases glow when a current is applied. Noble gases are especially useful in this regard, and are used to make neon lights, krypton lights, and xenon lights. Sodium vapor and mercury vapor also glow brightly in the presence of a current.
As you mentioned that you are not a chemist, you might like some thoughts on the colored gases that have been proposed. Chlorine gas is quite toxic, as is nitrogen dioxide. Both dissolve and react rapidly in water to form strong acids, hydrochloric acid (HCl) from chlorine gas and nitric and nitrous acid from nitrogen dioxide. (This reaction occurs in the lungs and mucuous membranes, which gives rise to their high toxicity, as well as in the atmosphere, making them very corrosive to everything in the area). Both are strongly corrosive, especially if traces of water are available. Chlorine is a very pale color and probably not strongly colored enough for your purposes anyway. Bromine is much stronger colored, but even worse as far as toxicity and corrosion goes.
Depending on your application, Arkcon's colored smoke suggestion might be more helpful. Tiny pyrotechnic charges can produce the smoke, with a compressed gas system to vent it afterwards. I don't know your application, but I am envisioning a small Y-shaped tube with the smoke charge in one arm, compressed air, CO2, or nitrogen in one arm, and an outlet in the third. The charge would fill the tube with smoke, and a blast of compressed gas would clear it again.