Lax pairs are one of the most important features of integrable system. In this work, we propose the Lax pairs informed neural networks (LPNNs) tailored for the integrable systems with Lax pairs by designing novel network architectures and loss functions, comprising LPNN-v1 and LPNN-v2. The most noteworthy advantage of LPNN-v1 is that it can transform the solving of complex integrable systems into the solving of relatively simple Lax pairs, and it not only efficiently solves data-driven localized wave solutions, but also obtains spectral parameter and corresponding spectral function in spectral problems of the integrable systems. On the basis of LPNN-v1, we additionally incorporate the compatibility condition/zero curvature equation of Lax pairs in LPNN-v2, its major advantage is the ability to solve and explore high-accuracy data-driven localized wave solutions and associated spectral problems for integrable systems with Lax pairs. The numerical experiments focus on studying abundant localized wave solutions for very important and representative integrable systems with Lax pairs, including the soliton solution of the Korteweg-de Vries (KdV) equation and modified KdV equation, rogue wave solution of the nonlinear Schrödinger equation, kink solution of the sine-Gordon equation, non-smooth peakon solution of the Camassa-Holm equation and pulse solution of the short pulse equation, as well as the line-soliton solution of Kadomtsev-Petviashvili equation and lump solution of high-dimensional KdV equation. The innovation of this work lies in the pioneering integration of Lax pairs informed of integrable systems into deep neural networks, thereby presenting a fresh methodology and pathway for investigating data-driven localized wave solutions and spectral problems.