The bending of light by a lens or by the atmosphere is an example of refraction, and is due to the change of the speed of light as it moves from one medium to another, such as from air to glass, or through air which is gradually changing in density. This behavior is an
example of "the principle of least action," or in the special case of light, "the principle of least time," which means that the path taken by a ray of light is the path that can be traversed in the least time.
Imagine you are a life guard on a beach, and see a swimmer drowning off shore. Since you want to get to the swimmer as quickly as possible, and you can run faster on sand than you can swim, you don't take a straight line path, but a bent one that gets you there in the least possible time. Likewise, light travelling from one medium to another bends, and the travel time from one point to another is minimized.
For more information, see:
http://brianclegg.blogspot.com/2012/07/the-baywatch-principle.html
http://lifshitz.ucdavis.edu/~dmartin/phy7/7C/Refraction/air-water2.png
The same general principle can be used to show that light follows the curvature of space, so light rays bend when passing by a massive object. By using the "gravitational telescope" provided by gravitational lensing, astronomers can study many phenomena such as the distribution of dark matter in galaxy clusters, and the nature of accretion disks around black holes.
For simple descriptions of gravitational lensing see:
http://chandra.harvard.edu/xray_astro/dark_matter/index3.html
http://imagine.gsfc.nasa.gov/docs/features/news/grav_lens.html
For a somewhat more detailed discussion, with links to technical articles, see:
https://en.wikipedia.org/wiki/Gravitational_lens
A video of a lecture on gravitational lensing:
http://www.pdxjustice.org/node/55
Image: Robert Horton
Image: X-ray: NASA/CXC/CfA/M.Markevitch et al.; Lensing Map: NASA/STScI; ESO WFI; Magellan/U.Arizona/D.Clowe et al.
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