This tutorial utilizes Adobe Photoshop and will teach you how to create 'windy' lightening against a starry background.
Hooray! Tahnee.org's first Photoshop tutorial. I had plans
to put this up about a year ago, but never got the chance! So, here it is.
First off, let me say one thing: for the actual tutorial on how to make
the lightening, I found that online in several places, so I'm really not
sure who the original creator of it is, and I don't take credit.
Now, let's get to work!
Start a new Photoshop document, 150x500 pixels. (Actually, you can make
whatever height you want, but I used 500 for all but one of the examples
here).
Create a new layer and label it "Sky".
Make your foreground color black, then use the Paint Bucket tool to color
in the Sky layer so it's completely black.
Next, go: Filter>Noise>Add Noise. These are the settings:
Amount: 45
Distribution: Gaussian
Monochromatic: Checked.
Then, go Image>Adjustments>Levels.
Input Levels: 0, 0.10, 255
Hit OK, and that's your starry background.
Now, create a new layer named "Lightening". Here comes the part of the tutorial
that I didn't write.
Take the Gradient tool and set the gradient so it goes from black to white.
Then, drag the gradient from left to right across the canvas, but also hold
down SHIFT so it's a straight line. It should look something like this:
Filter>Render>Difference Clouds.
Hit CTRL+I to invert.
Image>adjustments>levels
Input Levels: 0, 0.10, 255
Now, you get to pick your own color for the bolt. You can get creative here,
either coloring just the bolt, or leaving it pretty much white but giving
it a colored haze.
Hit CTRL+U.
Check "Colorize". Right now, the bolt should be white with a reddish glow.
If you want to go with this look and just change the color of the "haze",
then drag the Hue slider around until you're happy with the color of the
bolt. My Hue is set at 293. Now, you can also adjust the Saturation. The
more to the right, the more intense the color of the bolt. I'm setting mine
at 74. But, if you want just a colored bolt instead of a white one with
not too much haze, drag the Lightness down to somewhere, I find -57 looks
pretty good. I reccomend having a high saturation if you're going to do
this, though. Otherwise, the bolt will look dull. Once you're happy with
the look of your bolt, then hit OK. (FYI: That's the end of the lighning
tutorial that I got from another source).
Just for an update, here's what my bolt ended up looking like:

Now, add wind!!
Filter>Stylize>Wind
You can do whatever settings you want here, (Stagger gives an interesting,
but not lightening-y effect)... But in case you feel like copying me, feel
free:
Method: Wind
Direction: From the Right
Yay! Almost there. Now, make this layer's (Lightening's) opacity somewhere
around 55%.
That's it! Windy Lightening on a Starry Sky! You can play around more with
the settings on everything, but that's the basic "skeleton" for windy lightening.

Here, I've created another version, but instead of having the original gradient
go black-white, I set it to black-white-black, then on Levels, dragged the
white arrow to the left towards the grey one just a bit, and tweaked everything
there... then, I cut one of the bolts and pasted it to its own layer, colored
them both individually, put Wind on for both so they'd "wind" at each other,
then I blurred the bit between them where the colors didn't match exactly,
and turned the opacity on each down to 75%... I think that's what I did,
at least.. something... and I got sparkly bolts.
Here's another one, but I turned the "lightness" on low...
And here's the same one with Wind set to Stagger. Looks to me like a blast
from outer space, perhaps it would make a nice effect of "fire" from a rocket
on a spacecraft.
Well, that's it... It's a pretty basic tutorial, so play around with the
options and have fun!