Dale of Norway Falk has a neon yellow that is quite bright. I made 19 Marsan watch caps for my Ambulance squad last year. I also go some neon yellow wool on ebay.
If you google "Neon yellow yarn" you will come up with a few options. Warning though, Cascade has a wool tht is called "neon yellow" but it is really mustard colored (Ihave 20 skeins purchased on line under the assumption it would be "neon". There are several different acrylic yarns available that are really very bright.