The northern lights, also known as aurora borealis are a glittering part of the sky that exist both in our world and the world of the novel. In our world the lights result from electrically charged particles in the earth's atmosphere. In The Golden Compass, the lights of the aurora illuminate a passage to another world.
The novel characterizes the northern lights as a sublime phenomenon that fill onlookers with both awe and fear:
The sight filled the northern sky; the immensity of it was scarcely conceivable. As if from Heaven itself, great curtains of delicate light hung and trembled. Pale green and rose-pink, and as transparent as the most fragile fabric, and at the bottom edge a profound fiery crimson like the fires of Hell, they swung and shimmered loosely with more grace than the most skillful dancer. (11.8)
It's almost as if the northern lights symbolize all that is magical, mystical, and unknown about the world(s).
Brain Snack: The Golden Compass is only the title for this book in North America. In Great Britain, where Philip Pullman lives, it's published as Northern Lights.