National Geographic also has a set of five impressive photos of this phenomenon.
Colourful light pillars often appear in winter when snow or ice crystals reflect light from a strong source like the sun or moon. Aided by extreme cold, light pillars appear when light bounces off the surface of flat ice crystals floating relatively close to the ground. The pillars look like feathers of light that extend vertically either above or below the light source, or both.
From the Upcoming ueue, submitted by Minnesotastan.
The cool thing is that the color of the light pillar varies depending on what kind of light source it comes from; the colors varied from yellows to purples... It was very, very cool.
After driving home I grabbed a camera and tried to grab a few shots of it; my cheap little camera sucks about as badly as my photography skills, so they didn't turn out as well as what you see at other sites. I tweaked one in P-shop a bit and posted one on my blog; click on my name to take a look.
http://flickr.com/photos/paanta/106611187/
http://www.atoptics.co.uk/