So what is it?
These are called "light pillars" and are pretty rare around these parts.
What caused it?
Light pillars are created through the reflection of light off of numerous tiny ice crystals .
According to Wikipedia:
"The crystals responsible for light pillars usually consist of flat, hexagonal plates, which tend to orient themselves more or less horizontally as they fall through the air. Their collective surfaces act as a giant mirror, which reflects the light source upwards and/or downwards into a virtual image. As the crystals are disturbed by turbulence the angle of their surfaces deviates some degrees from the horizontal orientation, causing the reflection (i.e. the light pillar) to become elongated into a column. The larger the crystals, the more pronounced this effect becomes. More rarely, column-shaped crystals can cause light pillars as well"