That's is an excellent question and one which requires a bit of explanation. Electric charge is an intrinsic property of matter. It is produced by particles which have certain charges. In the world we know, these particles are protons and electrons, they are the stuff (along with neutrons) that make up all of the matter that we know in our daily life. Normally we don't notice electric charge because there are about as many positive charges as there are negative charges, so they balance out and we don't really notice anything.

When you have two wires that are separated by air, we notice the charge between them because there is an imbalance in the number of positive and negative charges. One wire has more electrons and the other doesn't have enough electrons (or, it has more protons, which is another way to say the same thing). The charge on each end of the wire produces what we call an electric field. All charges produce fields, and when you bunch up charges, like you do in the two wires, you magnify the electric field.

This electric field affects things that are charged, like the electrons and protons we mentioned earlier. Electrons are much smaller, and easier to move, and so these are the things moving around when we talk about electricity. But getting back to the wire... there is a strong electric field between the two ends of the wire. The electric field makes negative electrons want to travel towards the positive end of the wire (the end with not enough electrons). Luckily, there molecules of air between the wires happens to have a bunch of electrons in it. These molecules like their electrons and will not give them up easily, but if the electric field is strong enough, it can rip the electrons off of the air molecules. Now we have air molecules that are missing electrons, and free electrons wondering around. (By the way, this soup of molecules lacking electrons, and their free electrons floating around is called plasma, the fourth state of matter.)

Now that the electrons have been stripped off their molecules, they can move around freely, the way they might in a wire. So the air, when it becomes a plasma, actually becomes conductive, like a wire. This allows electrons to flow between the wires, along these strands of plasma. The electrons don't more through air that easily though, and moving through it creates a lot of heat. When the electrons are heated up, they glow.

That's what you are seeing. You are seeing the heated electrons from the air that becomes a plasma in order to allow a conductive path for the electrons.

I hope that answers your question.
Yours in Science

When you see a spark jump between two wires that is actually a large amount of charge moving from one wire to the other through the air! Air doesn't normally like to let charge move through it, so the wires either have to be really close together or you need a really large voltage between the two wires. This is the same way that lightning works, only it has to go across a really large distance in air to reach the ground. Just think about how much charge there has to be to make a spark that big!

An electric spark is the journey of charge from one material to another through air. Scientists describe charges and their effect on their environment with an idea called an electric field. An electric field gets stronger with more charge. Different materials have different resistances to the influence of an electric field. Air is pretty resistant to the influence of electric fields. A spark happens when a sufficiently strong electric field forces charge through the air; the light and sound of a spark is a result of air being ionized, forming a channel through which electric current (moving charge) can flow.

When a spark jumps between two wires, you are watching billions of trillions of electrons force their way from one end of a wire, through the air, and into the end of another wire. The shape of a spark is the path of least resistance through the air. Do you ever notice the many tines on forks of lightning? Those tines are paths "explored" by the charge on their way to finding the path of least resistance between their cloud and the ground. The shape of sparks and lightning can be affected by the movement and temperatures of air and slight changes in the concentration of the compounds in air, among other things.

Normally, air is a good electrical insulator, so charges can't flow through it (that is, electricity can't conduct through air). However, at a certain point enough energy builds up to go through air, and the result is the spark that jumps between the wires. Interestingly, air becomes more electrically conductive when it's hot.