I use this which you can pick up locally at sears for $19.99... When you turn on the PC, the monitor, and the marquee lights up.
http://www.sears.com/shc/s/p_10153_12605_00924031000Pand infact one of the reviews.. not mine, but...
Great Product, October 18, 2007
By Anonymous Reviewer from Altoona, PA
Value 5 5
Durability 5 5
Reliability 5 5
"I purchased this product for use in my MAME arcade cabinet. I wanted to be able to turn everything on and off with a single button, and thanks to this device, now I can. I press an arcade button on top of the cabinet that is wired as the PC power button, the computer boots up and this wonderful device powers up my speakers, monitor, and marquee lights. When i shut the PC down, everything else turns back off. It works great, I couldn't be happier with it. and at $20, it is a great value. I highly recommend it to anyone building their own arcade gaming system."