Square Enix has just announced that Lightning's downloadable content episode will be arriving in just a few months time.
It will be called "Lightning's Story: Requiem of the Goddess" and will detail more of Lightning's experience throughout Final Fantasy XIII-2. As with Sazh's DLC, which released a short time ago, it's expected that Lightning's DLC will run con-current to the existing story, showing what she got up to while Noel and Serah were dashing through time.
Square Enix wouldn't be drawn on pricing for the DLC yet, now would they give a definitive release date. Instead, they've stated that it will arrive "mid-may". There is also no word on when Snow's downloadable content will arrive, but it sounds like it'll arrive after Lightning's.
For more information about Sazh's DLC, which was called Sazh: Heads or Tails, feel free to check out the previous news post. That came packed with a story episode, but also some new games for Serendipity.