Check this video out from an intrepid editor:
A lot of the stuff you see here are actually not special effects from the iMovie HD program and are just simple editing tricks you can do in iMovie. For example, when the character vanishes completely @ 0:37, it's simply a matter of filming himself in the background and then the background by itself and then inter-cutting the two.
But what about that lightening effect?
That's actually a special effect from the application. Check it:
Try to be patient with this kid... You will actually learn how to do the effect...