The formation of sparks is a fascinating topic. They're not made of anything, instead a crack is a pattern in a material. If a crack takes a sudden turn, a new crack can begin growing from the jagged part of the old one. A spark is not made of anything, instead it is a pattern, and it obeys some of the same rules that cracks do.
Air is made of molecules, and the molecules are made of protons, neutrons and electrons.
Whenever a spark appears, those same protons, neutrons, and electrons are still there. There's a difference of course. In air, the protons and electrons are bound together, so they cannot flow separately. Within the spark the electrons and protons are no longer stuck together, and electrons can flow through the cloud of protons, and vice versa. Sparks are simply regions in the air which has undergone a change in phase.