Lightning is a natural example of a plasma. A neon light is a man-made example. Broadly speaking, plasma physics research can be divided into two branches. One is concerned with understanding natural plasma phenomena. Stars, including our Sun, are big balls of hot, dense plasma.
Interstellar space is filled with a dilute, relatively cold plasma.
Supernova are the plasma remnants of exploded stars. Closer to home, lightning, flames and the aurora are examples of naturally occurring plasmas. The other branch of plasma physics focuses on creating and understanding plasmas for more practical application. Neon and fluorescent lights, lasers, and welding torches are examples of useful man-made plasmas. One of the more far-reaching applications is to use plasmas to create energy.