I was wondering how could I achieve an effect like this:

[media]http://images.wikia.com/zelda/images/d/dc/Spin_Attack_(Skyward_Sword).png[/media]

where I left a graphical trace of my sword or punch for example.

use a particle system, the particle consist of two points (start and end, recorded from previous orientation of the sword). Then, render them by drawing triangle/quad strips...

Or you could have a dynamic generated mesh rendering triangles in fan mode.



I was just looking for something like that yesterday, and I crossed with the name Ribbon Trail.
Maybe you can refine your research with this name.

look at this:
http://www.gamedev.net/topic/562782-how-to-make-a-ribbon-effect/

http://www.gamedev.net/topic/358399-weapon-trail-effects-like-soul-calibur/

http://www.ogre3d.org/forums/viewtopic.php?f=2&t=59364

http://blog.sina.com.cn/s/blog_67b708440100ifa4.html

3DBuzz has a free video tutorial about Unity3D, where this section demonstrates TrailRenderer and gives some insights how to do it yourself, too.