Sun Pillars occur typically during sunrise or sunset, when sunlight is reflected off the surface of falling ice crystals associated with thin high-level clouds, like Cirrostratus clouds.
The crystals are hexagonal, plate-like crystals and as they fall they are forced into a horizontal orientation due to resistance from air. These crystals must be similarly oriented and slightly tipped with respect to the viewer in order for a pillar to be observed.
The result is the reflection of this beautiful pillar of light.
Sun pillars are initially the same colour and width as the sun, but they will gradually change colour from orange-white to red-orange (at sunset) as the shorter wavelength colours like blue and green are being preferentially scattered from our view.
Image Credits: Top image: Rick Stankiewicz taken in Keene, Ontario, Canada Bottom left Image: Jim Foster taken north of Baltimore, Maryland Bottom right image: Kevin Ponez taken near Jenison, Michigan