Lightning is a discharge of static electricity during a thunderstorm. Thunder is actually the sound of the lightning, but if you are a long way away from the lightning it may take a while for the thunderclap to reach you.

Lightning is caused by a similar process to being 'zapped' when you touch a car after a drive, or if you scuff your feet along carpet and then touch someone. Lightning is on a much larger scale though, and being hit by lightning can kill you.