As a shepherd living in a time of little light pollution, David was able to see the stars at night and admire the heavenly bodies. David wrote, "The heavens declare the glory of God; the skies proclaim the work of his hands." - Psalm 19:1 NIV
Although I haven't found any Bible verses referring to the northern lights (also called aurora borealis), I believe they have a divine purpose. If God can make the rocks cry out, He can create charged particles to light up the sky and show more of his glory.
According to Wikipedia, the northern lights are "causedby the collision of energetic charged particles with atoms in the high altitude atmosphere."