In addition to the excellent answers already given, here is another famous picture of an anticrepuscular ray (or better: shadow). It is not a coincidence that the shadow of the plume extends almost exactly towards the full moon. It is a consequence of the Sun, Earth and full Moon being almost aligned. So all shadows must point towards the moon at such a moment.
Image credit: NASA, Pat McCracken.
This also was once the Astronomy Picture of the Day, where you can find some extra explanation.