Not to the best of my knowledge.
The ones I bought (iBall) don't, and I know the "new" version (iBall Pro) that was replacing the ones I bought didn't.
They may have a new lighted version, but I haven't seen it yet if they do.
They are really easy to light up if you mount them in a case, or CP, though.
You can basically just put a light below them because the case and everything is translucent.
I HAD mine lighting up with the "neon" strip from around a case fan until the ribbon broke from swapping CP's.
It broke it in another spot while I was removing it to solder it, so I threw it away.
I'm planning to go with wedge lights the next time.
They are alot more durable.