We saw a good sun pillar last night, though my photo didn't come out as well as this one from the web.
A "sun pillar" or "solar pillar" is a vertical shaft of light extending upward from the sun. It appears when the sun is at or below the horizon.
The light in the pillar reflects off the bottom surfaces of ice crystals that are suspended in the air. Those crystals are like tiny hexagonal dinner plates, floating in a horizontal position. Their flat surfaces act like mirrors to reflect the rays of sunlight down to the viewer. (Left: photo by W. A. Bentley)
When such a pillar appears over an artificial light at night, it's called more generally a "light pillar."
Sun pillar (with more photos) from Wikipedia
The best book on this sort of subject is: The Nature of Light and Colour in the Open Air (Dover Books on Earth Sciences)