[NamTaf]

Just to expand on this (pun intended), a sound wave is just a change in the local pressure of the fluid it's going through. The rapid and sudden pressure drop across the leading edge of the shock wave causes vapour in the air to condense and form clouds. This happens because lower pressure air has a lower temperature (in this case, because it cannot reach equilibrium fast enough) and lower temperature air holds less humidity. That humidity is the vapour that condenses.

You'll see this same effect on some jet fighters going transonic, contrails from wingtip vorticies on aircraft and other various natural phenomina.

[BrandonMarc]

Indeed. This occurs with rockets, too. One of my favorite pictures is one of a Saturn V going supersonic. See here:

https://en.wikipedia.org/wiki/Vapor_cone#Gallery

As that gallery shows, the same effect is in play with nuclear explosions (and any significantly large explosion, really)