A 100GW 35fs 1kHz laser is focussed down to a narrow waist, which creates an electric field large enough to ionise the air. You can see the resulting plasma glowing (the little white floating blob). The process is essentially the same as lightning, which of course is accompanied by "thunder": the 1kHz buzz you can hear is the thunder, repeated 1000 times per second (the laser pulses at 1kHz). The coloured pattern on the wall is the expanded beam, the moving colours generated by the nonlinear effects in the plasma.