The Northern Lights, or the Aurora Borealis as some call it, is nature's own gigantic light-show. A clear night is weather dependant. Even with out clear skies there can still be Auroral activity, but we won't be able to see it from earth. There are all sorts of gases in the atmosphere. It is the different gases which cause the Aurora to change colour.
Solar wind comes from the sun.
High energy paricles stream out of these holes and are thrown out into our solar system. When solar wind particles collide with the gases in the atmosphere, the energy is transfered into light. When billions of these collisions happen at the same time, together they produce the Northern Lights. We can only have Auroral activity in the high latitudes because of the magnetic fields. Well, it is being pulled by the magnetic field around the north pole.