A light pillar is an atmospheric phenomenon usually observed during the crepuscular hours of dawn and dusk. Like the name suggests, it appears as a vertical shaft of light going up into the sky. They are caused by small particles of ice forming in the atmosphere and arranging themselves parallel to the ground. Light going up into the air is then reflected off these particles and back at the eye of the observer. The appearance of the pillar is formed by the millions of reflections of the light source by the ice particles. This is similar to how the sun appears to stretch out when reflected off a large body of water.
Parallel Ice Crystals----->***
Light Rays--------->.' '.
.' ****** '.
.' _.-' '-._ '.
.'_.-' ***** '-._ '.
Light Source •.'-'...---''' '''---...'-'.• Observer
The more oblique angles taken by light during sunrise and sunset make light pillars most common during these hours though they can appear at any time of the day. Light pillars are also much more common in colder climates and high altitudes because the reduced moisture and cold temperatures prevent any kind of precipitation but still allow the formation of small particles of ice.