http://apod.nasa.gov/apod/ap060305.html
NOAA: A sun pillar is created when millions of falling ice crystals reflect the sun's rays, creating a column of light. They often occur at sunset or sunrise.
http://abcnews.go.com/Technology/popup?id=5185641&contentIndex=1&start=false&page=3
Atmopsheric Optics: They are narrow columns of light apparently beaming directly up and sometimes downwards from the sun. They can be 5 -10º tall and occasionally even higher. Pillars are not actually vertical rays, they are instead the collective glints of millions of ice crystals.
http://www.atoptics.co.uk/halo/pillar.htm
Maps of the World: Light pillars are a kind of optical phenomenon which is formed by the reflection of sunlight or moonlight by ice crystals that are present in the earth's atmosphere. Owing to such optical phenomenon the sky sometimes seems like a natural kaleidoscope. Though light pillars seem like weather illusion , they are natural phenomena.
http://www.mapsofworld.com/referrals/weather/weather-illusions/light-pillar.html