Some McIntosh amps do and the new Emotiva 2 channel amp does (sort'a, it has led's that light up).
Pro amps have clip lights which are helpful.
However, something you could do, which is what I've done, is buy a pre/pro with some kind of RTA or other means of monitoring the input and/or output signal, then setup the rest of your gear (amps) to clip at a certain reference point, say +0.5db. That way, you can keep an eye on your pre/pro's signal level and see that you're, for example, peaking at -6db during a song, which means you can turn it up another 6db without overloading your amps.
As you mentioned, consumer gear is kind'a boring now. My parents still have an old Pioneer receiver with digital VU meters. Not quite as cool as the analogs, but it was still fun to watch as a kid. Now'a days receivers are lit up a lot less to keep down the light in the HT's. People don't ooh and aah over hifi equipment like they used to. Now it just sits hidden in an entertainment center, never to be thought of or looked at except when it gets dusted off once a month.
Oh, here is that pre/pro I was talking about that I use with my subwoofers.http://www.behringer.com/EN/Products/DEQ2496.aspx
"Multi-functional level meters (peak/RMS, VU and SPL meter with dBA/dBC weighting via RTA mic input)" Yes if you hook up a mic it will tell you your actual db's. :-)