A light pillar is an optical phenomenon that occurs when the light of the sun reflects off tiny ice crystals floating in the air, forming a vertical column above the sun.
It usually happens when the sun is low in the sky, and sometimes even after it has set.
Light pillars can also occur near the light of the moon or streetlights, as long as ice crystals are floating in the air near you.
Ice crystals are often shaped like tiny flat hexagonal plates. Like falling leaves, they tend to float downward with the flat surface parallel to the ground.
Sometimes you can see a reflection of the sun off the top surface of these floating crystals. Looking down from an airplane window, a “sub sun” reflection will occasionally appear in a region below the horizon underneath the sun.
In the case of the magnificent photo above, the secondary light effect is a sub-parhelion, more rarely observed. It's caused by light that reflects off of the hexagonal internal surfaces of the ice crystals.
Wikipedia on light pillar
Sub sun image from EPOD.
Nice explanation with diagrams of the ice crystals on Weather Doctor