There are indeed aurorae on Io, for pictures see:
http://www.solarviews.com/cap/jup/PIA01637.htm
They're produced by the same mechanism as Earth's aurorae, except the incoming particles aren't from the solar wind, but from Jupiter's intense radiation belts. Because Io doesn't have a magnetic field of its own, the aurorae are spread over its whole surface, brightest where there has been recent outgassing. Earth's aurorae are produced in pretty tenuous gas at high altitudes, so I guess it's at least possible you might actually be able to see this with naked eye on Io, too, if you were on the night side, or if Io was in eclipse.
Grant