From Dane Ortlund:
During the course of Jesus’ transfiguration, as he stands with Moses and Elijah, 'a cloud overshadowed them, and a voice came out of the cloud' (Mark 9:7).
Why a cloud? Did it just happen to be a rainy day?
No, the cloud uniquely represents the presence and glory of God. The cloud shows up at important points throughout the Bible, especially in the book of Exodus. The Lord leads his people by a pillar of cloud (Exod. 13:21–22; cf. 1 Cor. 10:1–2), speaks to his people by appearing in a cloud (Exod. 16:9–10), gives his people the ten commandments amid a cloud (Exod. 19:9, 16; 24:15–18), descends in a cloud when Moses enters the tent to speak with him (Exod. 33:9; 40:34–38), and proclaims his name in a cloud (Exod. 34:5).
Throughout the Bible the cloud signifies God's glory-filled presence. In the transfiguration Jesus appears under a cloud because he is the climactic display of the glory of God. Jesus shines radiantly in Mark 9, just as Moses had (Exod. 34:30; Mark 9:3), because Jesus is the final 'prophet like Moses' spoken of in Deut. 18:15–18. At the very end of his earthly ministry Jesus would also be taken up in a cloud (Acts 1:9).
Jesus and the cloud are then explicitly brought together in the final judgment at the end of the Bible in John's vision, drawing on Daniel 7, of 'a white cloud, and seated on the cloud one like a son of man' (Rev. 14:14).