As RBM wrote "Pilot light switches are lit when the circuit is on, and illuminated switches are lit when the circuit is off." Both of these have the light in the handle of the switch (not a separate pilot light).
"Illuminated switches" are easy - as I said before you connect a neon lamp between the traveler terminals If you work out the circuit, this is the same as connecting a neon lamp across a single-pole switch.
"Pilot light switches" from Leviton require a neutral connection - I believe that is true for all of them. They don't use a ground connection. The circuit for one that I saw had resistors from each traveler terminal to a common point. A neon lamp connected from that point to a neutral.
Both of these use current through the load to light the neon lamp. If a light bulb is burned out they will not work. They may or may not work with fluorescents (CFLs).
------------------------- All switch straps that are metal these days have a ground screw. If the switch is not installed in a metal box you have to ground the strap. The strap is grounded so any metal plate - present or future - will be grounded.