Light Pillars over West Chester, Pennsylvania USA imaged by Rick Rotondo on November 19, '08. Images ©Rick Rotondo, shown with permission.
"It was 28*F when they appeared. They lasted for a couple hours, then dissipated. Very light snow flurry activity did occur intermittently.. .., otherwise it was clear to partly cloudy skies."
Light pillars are city lights reflected by millions of ice crystals in the cold skies. Plate-like crystals are responsible. Contrary to intuition, the crystals are not actually stacked over the lights but are instead roughly half way between them and your eye. They are very wobbly and range from near perfect plates to large habits approaching snowflakes. When they are in discrete layers the pillars take on the candle-like appearance here.
Like all halos, the pillars do not exist anywhere in real space. They are purely crystal glints that happen to be directed towards your eye.