You can do almost anything you want, it's just a matter of time, effort, and money.
Depending on how you want to go about it, you'll probably either use LED's or EL wire/tape/film. Both are small enough to fit in costumes and can run off batteries. You can do simple things or complicated things. If you want it to flash and animate like this girl's
cosplay, then it's going to take some extra effort... but obviously, it can be done!