I have made (8)sections of a 12 sided tube brush of nodraw set these to func_brush,not_solid,no_shadows,start_off.and have textured them with a light texture.I have tried to get them set with logic timers and they do flash on and off, but after one cycle it flashes back on itself. (not in sequence). 1,2,3,4,5,6,7,8,1,2,3,ect
Careful with dynamic lights, as the engine can only cope with 2 per potentially visible set.
You can cheat the effect with sprites and a single moving light, maybe.
The best thing to do would be to have a LogicRelay, with each of the 4 lights trigger on/off in sequence with delays. Then, trigger the logic_relay every N seconds with a logic_timer. Or if it is continuous, just get the relay to trigger itself at the end, and start it off with a button or logic_auto.