It's crossed my mind to do on mine, but I never bothered. Using LEDs, you'd want to tap into the 12v, but I would worry about it affecting the game board.
You could use a florescent tube style light, hooked into the AC, but then you could be looking at heat issues which I suspect was the real reason not to include them. Previous cabaret games from Atari had the marquees lit (eg: Missile Command).
Now that I think about it some more, maybe the same voltage lines that illuminate the coin slots could illuminate some lights in that area.