Ian,
You'll want to remember that the downstream "grounded" recepts protected by the GFCI should NOT have their grounds connected together. Otherwise, if something plugged in gets hot from some source other than the GFCI-protected power, everything on the interconnected grounds ends up with a hot case.
Also, as it relates to the original post, the GFCI trick wouldn't work for the neon light, because the transformer creates a "Seperately-Derived System", and it MUST be grounded to prevent it from floating to dangerous voltages, like n1ist mentioned.
Best!
[This message has been edited by SolarPowered (edited 01-17-2007).]
