A Mars Light, according to Craig Mitchell of myboot.com, is one of the flashing lights that is seen on the top of any self-respecting fire engine. Mars Lights are so named both because of their (slightly dubious) similarity to the appearance of the Red Planet, and also because the name of their original manufacturer was Mars. They're often incorrectly called 'sirens' or 'klaxons' (both of which, of course, refer to the sound of the fire engine, not to the flashing lights). Most people simply don't know what to call them.
The anecdote this information sprung from is part of Craig Mitchell's diaries, and you can find the relevant entry here:
http://www.myboot.com/is/craig/journal/040500b.html