Emm, that's a pretty vague question. It would be better to tell us what kind of effects you want to do, what have you tried so far, and why the results are not satisfactory to you. You can take a look though in the resources section, there are articles on how to perform various special effects.

One of the most important tricks you can use for cool glowy effects is simple additive blending. If you take a particle or a beam, and simple alpha blend it using translucency onto the screen, it has a tendency to look bland and boring, and 'non-glowy', somewhat muddy in appearance. For example, this group of blended orange particles:


In this case, the particles maintain their own distinct, separate nature with no cumulative effect. However, if you apply the same particle a few times on the terrain using additive blending (ie, the particle color is added to the scene color, rather than replacing it) then particles 'stack' on top of each other, increasing brightness with each one for that bright, glowy appearance. This image uses the same exact particle, but with additive blending (a few times applied for brightness). The more times you add in a particle, the brighter the resulting effect:



Simply by spawning upward-moving particles from a point, and using a dull orange particle texture, you can create a fairly decent flame. The right starting color has a tendency to increase in brightness through the yellow shades toward white incandescence at the flame's center.

Additive blending is also useful for beams and lightning bolts. For these, you can simply map a 'beam' texture (like a particle, but different) onto a long, skinny quad and apply some additive blending. For instance, this beam texture (though you would want to add an alpha channel fading out from center; alpha doesn't export to jpg)

could be additively blended onto the terrain to create a decent laser-beamish looking bolt:


A trick that is handy for lightning bolts is to use two beam textures. The first is a wide spread, faint 'halo' texture and the second is a narrow, brighter central beam texture. The halo is rendered using a dim electric blue, and the beam is drawn on top of it using a brighter white. Gives the impression of the air surrounding the bolt being ionized and glowing.



Star-shaped and sparkly particle textures are useful for bright points of light, faint circles can be useful when applied to an expanding quad for generating an expanding shockwave ring effect. Particle textures applied with subtractive blending can be useful for smoke rising from fires or burning rubble. Etc...

The thing is just to experiment with different blending modes and different geometries to get the effect you desire.

Yeah, bigger particles lets you use a lot fewer of them for good effect. My particles tend to be in the 32x32 to 64x64 range, though for very tiny puffs of flame I may use 16x16. I don't think I've ever used anything smaller than that, though; too uneconomical to render so many particles. The particles in the first two shots above were 32x32, though with the alpha effect and the fade-out their effective area seems about half that. That first flame was maybe 8 of the orange particles.

The size of the particles is fairly easy to determine while you work on your effect. Each effect has a different optimal size.

For instance, if you're trying to create a flame system, it's best to use medium-sized particles that will shrink a bit over their lifetime. If you're trying to create a smoke-based effect, you're going to want the particles to start out fairly large, and then increase the size (and decrease the visibility of it, ie. increase the translucency of it) as the particle's life goes on.

Basically, just play with the effects; alter the particle system parameters a bit here and there and eventually you'll custom-tailor your system to a near-perfect state for whatever effect you may be working with. Some of it is common sense, some of it just comes from experimentation, some of it has a physical reason for being (such as the smoke expanding over time).