I guess, it is the combination of different animated sprites with different effects/functions and animated models with alphachannel that makes a good effect.

Maybe, you already know those links, but they could give you ideas:
http://www.conitec.net/litec/work20.htm
http://www.conitec.net/beta/Shader-effect_load.htm
http://www.opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=339653&page=all

http://www.puppenheim.org/
http://www.wuerfels-welt.de
Old Game Tutorial: http://www.puppenheim.org/MITutorial.zip
Free Game Editor: http://puppenheim.org/AlienalsWeihnachtsmann.zip
http://www.puppenheim.org/blender_starting_main_settings.txt