I can't look at Radiant at the moment either, but...
http://www.richdiesal.map-craft.com/tutorials/en220lsn1.html
Probably set 'style' for each light to '2', and use the
K hotkey to set color. You'll have to set some trigger mechanism...like so:
Figure out the period of whichever style you use. You'll have to work out some way to trigger each light on and off (to make it start off, set the 'start_off' spawnflag). Probably get half the period and trigger each light in turn- aha. A circle of target_relays with a 'wait' => '<0.5*period>' that have a target of 1) the next relay, 2) the last light (that's on, so it gets turned off) and 3) the next light (to turn it on).
SUMARRY (Easy explaination):
Say you want the lights to go red->blue->green->red. Put 3 light entities in the same place with the style=>2 key, and also have the blue and green lights start_off.
3 target_relays with a wait of half the period of the pulse:
R1 goes to redlight, bluelight, and R2
R2 goes to bluelight, greenlight, and R3
R3 goes to greenlight, redlight, and R1
When the player spawns, have that trigger a trigger_once that in turn triggers the first target_relay.
Or something like that. Echoman can probably correct me- like I said, I just was figuring this out as I was typing it, and have no means to test.
Hope this helps!