Daniel Widmann aka Nion has released a compilation of effects created in Blender 2.5. All of them show off the capabilities of the latest version of Blender. Houdini beware!
The effects are both astonishing and inspiring. Nion really proves that Blender is now mature enough to be considered for cutting-edge particle animation. He was also kind enough to add annotations to the videos which should help you understand how the effects have been created. Make sure to watch them both! You might also want to check out his homepage Project Nion and leave a comment there if you like it.