The first appearance of God as a Pillar of Cloud by Day and a Pillar of Fire by Night is in the Exodus story. The Israelites had escaped Egypt, and they were traveling through the desert. Pharaoh changed his mind about letting them go, and so he sent his army to chase after them. The Israelites were trapped along the Red Sea; the Egyptian army was closing in behind them and the Red Sea was in front of them. Moses didn’t know what to do with the 602,000 men – not counting their families — that he was leading out of Egypt.
So, God intervened. He opened up the Red Sea for the Israelites to walk on dry ground; and He stood between the Israelites and the Egyptians as a Pillar of Cloud by Day and a Pillar of Fire by Night. The Lord saved His people once again!