"Sun dogs" are formed by the refraction of sunlight by ice crystals and resemble small, bright sections of a rainbow. They are most commonly seen when the sun is near the horizon and appear as the same elevation as the sun, offset to either side of the sun. The scientific name for them is parhelion, which is derived from the Greek for "beside the sun". A nice example of parhelion occurred on Saturday, February 6th just before sunset. See the two photos below.
A sun dog seen near sunset on Saturday, February 6, 2010. The pictures were taken a few minutes apart. Notice how, as the sun sinks a little lower in the sky in the bottom photo, the sun dog also sinks lower. Also notice the cirrus clouds, which are composed of hexogonal ice crystals that refract the sunlight to create the sun dogs or parhelion.