The Lightning power-up is in the bottom corner of the match-3 screen. It's chargeable: every time you detonate a regular power-up, the Lightning progress bar charges a little more. Exploding several power-ups at the same time adds extra points to the charge.
Once the power-up is fully charged, a Lightning is randomly placed on the game field. Swap it with any adjacent piece to remove all the pieces of that color from the field!
You can swap two Lightnings to get a very powerful combination that removes all the pieces from the field as well as the first layer of all the obstacles.