This is a pretty cool video that also gives me a chance to explain these very cool phenomena.
These form when instability hot air rises quickly through a small pocket of cool air above it. The air begins to spin and – because hot air rises – the rising air is stretched out. As the rising air is stretched, it thins and moves closer together.
The rising column of air pulls more hot air into it. As the hot air rises, it cools, moves outward and descends. The eventuality is a self-sustaining rotating column of air!