Depends on how you're using them. If you're, say, using them for the front LED replacements, then you should be able to run them right off the proper motherboard header. If you want to run a ton of them, you can get by with batteries...although, you can rig them up to run off the 5V rail. I don't have any guides off-hand, but you can find them if you look around a little.
Cathodes typically come with an inverter that is plugged into a molex power connector, so you don't need to do anything special. You can also use those neon's for cars, since they run off 12V, which is supplied by your power supply.