I saw one in the sky above England on Wednesday. It was like the one in this photo.
That is how COLD it is here right now.
from wiki, a nice, easy to understand explanation: http://en.wikipedia.org/wiki/Sun_dog
Sundogs are made commonly of plate-shaped hexagonal ice crystals in high and cold cirrus clouds or, during very cold weather, by ice crystals called diamond dust drifting in the air at low levels. These crystals act as prisms, bending the light rays passing through them with a minimum deflection of 22°. If the crystals are randomly oriented, a complete ring around the sun is seen — a halo. But often, as the crystals sink through the air they become vertically aligned, so sunlight is refracted horizontally — in this case, sundogs are seen.
As the sun rises higher, the rays passing through the crystals are increasingly skewed from the horizontal plane. Their angle of deviation increases and the sundogs move further from the sun. However, they always stay at the same elevation as the sun.
Sundogs are red-colored at the side nearest the sun. Farther out the colors grade through oranges to blue. However, the colors overlap considerably and so are muted, never pure or saturated. The colors of the sundog finally merge into the white of the parhelic circle (if the latter is visible).
It is theoretically possible to predict the forms of sundogs as would be seen on other planets and moons. Mars might have sundogs formed by both water-ice and CO2-ice. On the giant gas planets — Jupiter, Saturn, Uranus and Neptune — other crystals form the clouds of ammonia, methane, and other substances that can produce halos with four or more sundogs.