A friend of mine pointed me to this video on testing a 1930's desing of regulated DC power supply and I thought of @Lucien Nunes and the other folks here immediately! So if you have a spare 20 min you might find it interesting:
In my earlier life a thyratron would be found in a radar modulator to provide a high voltage pulse of fixed duration - determined by the inductor/capacitor pulse forming network - to a magnetron which in turn produced high power pulse of microwave energy. If I remember correctly one E/F radar charged the pulse forming network to 8kV.
This was not the highest voltage. Inside a D band radar set the PFN operated at 35kV which pulsed a klystron - but technology had moved on and it used thyristors in a sealed tank of oil to do the switching.
We have two devices that use thyratrons, a lighting dimmer with five pairs and a spot-welder.
However my favourite gasfilled, grid controlled device is not a thytratron. It's polyphase, heaterless and bulbous:
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