Special Effects using Additive and Multiplicative Blending
Thanks to the efforts of Jorge at IsoInteractive (along with pioneering work done by NoiseCrime, Malachy Duffin, and others), the general Shockwave3D community now has the reasonably reliable ability to use a technique called additive and multiplicative blending to create special effects like fire, lightning, energy, and spell effects.
Some Background
Additive and multiplicative blending is nothing new to Shockwave3D. We have always had the ability to "overlay" other textures with an additive glow or multiplicative shadows without much of a problem. But until recently, we had troubles when applying #add or #multiply as a blending mode to transparent polygons without any other texture or blending method. In other words, you could apply a glow to an opaque surface, but the glow could not hang in the air by itself. Some innovative pioneers such as NoiseCrime and others came up with solutions that worked depending on your video card, but now we appear to have much fuller coverage (so long as you are willing to abandon DirectX 5 and go with OpenGL and DirectX7+).
The reason this is an issue is because additive and multiplicative blending is very useful for creating special effects:

Here, we see a simple fire particle (1). Suppose we want to achieve a fire effect by creating a particle system of these.
Normally, when you overlay two of these particles with each other, you'd get less than satisfactory results. Either you get boxes if the texture is opaque (2), or you get dark areas of an alpha-channelled particle darkening the bright spots of one behind it (3).
With additive blending, instead of replacing the color value of the texture further away, the closer particle adds its own color to the one behind it, ensuring that it doesn't darken a lighter texture behind (4).
Even better, as more particles are applied, the boundaries become indistinct, and you get a "volumetric look" to the particles as the glow blooms (5). This is better looking and more realistic than a mass of discrete alpha-channelled particles (6).
Getting Started
Before proceeding, go read Jorge's explanation of how to apply additive and multiplicative shaders. This gives you the core ability to create the shaders we'll be using below.
FireJet Effect
At right, you can see an example of an effect that takes advantage of this concept of additive and multiplicative blending.

The fire texture does not have an alpha channel; it is flattened against black. This is because when you add black (rgb 0,0,0) to a color, you get the same color back, so wherever an additive texture is black, there will be no change to the scene.
Because the particles are drawn with additive blending, they create a complex-looking bloom and glow when they overlap each other that would otherwise look flat and repetitious.
In order to take advantage of that bloom effect, the particle texture itself is blurred and ramps from light to dark for a good range of overlapping color. This makes sense to do because the details of a fire like that are typically washed out and indiscernable from within the glow.

Because smoke in a fire is much more distinct than the fire itself, we have a fairly sharp cloud texture, to add contrast from the blurred glow effect for the fire. It is black on white because we are multiplying textures behind to darken wherever there is less-than-white in the texture.
It can be confusing how addition makes things brighter while multiplication makes things darker. This is because with additive blending, you are adding color values, so that a 128 red plus a 128 red becomes a 255 red.
But when you are multiplying, the color values are translated into a scalar from 0 to 1, so that a 128 red multiplied by a 50% gray becomes a 64 red. This is why the smoke texture is against white: because the darker the value, the closer to zero the multiplicative factor is, while white (100%) has no effect on the surrounding textures.
Once the shaders are created, the rest is simple. It's just a matter of animating planes flying up into the air based on a lifetime and a randomized initial velocity.
You can download the source for this effect. The supplied code allows you to turn the jet of fire off and on in a realistic manner (i.e., the jet stops, but the "live" particles live out their life), and you can grab a reference to a parent group for it which allows you to move the jet where you want it, scale it, rotate it, etc.
To use the firejet object, create a new instance of it (passing in the required parameters), and then just send it the #render message every frame. While this code works, you should consider "making it your own" with your own embellishments and optimizations, or at least some of your own textures.
For more discussion on creating a particle system for fire, and some discussion of using additive blending in Shockwave3D, check out the Balrog in the Browser article at Director Online.
Further Explorations
Fire is one of the canonical uses of additive blending, but there are plenty of other uses you can put it to. For example, if your game has spellcasting in it, additive blending will yield some spectacular spell effects. Or you could use it in a user interface to make interface elements glow beyond the surface of the element. Create shafts of sunlight or moonlight, or add fireflies to a scene. Anything that glows, blooms, glares, or otherwise clusters and bleeds light can potentially benefit from this technique.
A good way to get started is to simply try swapping out textures and seeing what the effect is. For instance, below is the same animation above with the smoke removed. Click the particle textures to change the particle texture used to see several very different visual effects from the same animation logic.