At the absolute most extreme, we might get some nice Northern/Southern Lights.

Basically, this gas is so thin that we would consider it a vacuum. It's only over millions of years and many light years of space that the number of collisions between particles adds up for it to start acting like a gas, so that it can carry shockwaves, soundwaves etc. But we're often talking about less than one atom per cubic centimetre, and it's not going to push the Earth at all as we pass through this wave.

Some of these particles may be charged, and drawn in by the Earth's magnetic fields towards the poles, and maybe contribute to the Northern/Southern Lights. I haven't done the maths to see if that would be a significant contribution compared to the constant wind of particles we get from the Sun though.