You ever zapped yourself on the finger after shuffling around and then touching something metal?

Lightning is basically that except the clouds are your finger and the piece of metal is the earth. One side has built up a charge of electrons that wants to equalize and move out, and when it finds a way to travel and escape, it takes it.

Thunder is caused because lightning heats the air around it to fives times hotter than the surface of the sun in a fraction of a second. Air expands when its heated, so thunder is basically the air violently exploding outwards.