The Bay Lights is a light sculpture and art installation on the western part (between Yerba Buena Island and SF) of the Bay Bridge. It consists of thousands of LED lights that are strung on the vertical cables of the bridge and move around to make different patterns, etc.

It's best viewed from the Embarcadero north of Market Street and is best visible at night.

It opened on March 5, 2013 and although it's scheduled to end on March 3, 2015, Illuminate the Arts (the organization that's behind it) is looking for funding to become a permanent thing.

You can read a lot more about it on Wikipedia and on its official site.