Oh.... Mama! It's been a long time coming, but it's finally here! I'll start at the beginning, and when I get done, I'll stop. By the way, the only reason you'll need an editing program for this is if you use it to capture footage. Everything is done in After Effects. Also, I'll provide a link to the footage that I shot so you can all use it for reference during the thing.
Bamf !
What You'll Need:
A Camera
A Tripod (Unless you're really good at motion tracking and such)
An Actor (Or, if you want to do a fight, multiple)
A black screen (Or a black night's backdrop)
Something that emits smoke (Cigars, fog machine, something along those lines. I used a pipe)
One or two lights
A good area to film in where nothing's going to change
Adobe After Effects
A couple hard-working hours
Alright... Number two pencils out? Let's begin!
GET THE FOOTAGE!
Ok, set up your tripod with your beautiful camera placed on it's head in a place that's gonna be good to shoot. Try and pick a place that doesn't change too often, like... Not a construction site, or a department store. Something like the President's office, or a wide open space would work just fine. Get everything ready. You need to shoot your actor doing his/her schtick up to the teleport, then keep rolling with your actor off screen, and then move the camera over to them teleporting IN. I hope that makes sense. Watch the video I provided above if you need reference on what it should generally look like. This is all up to you what you want to do with it, but you should know that you at least need the footage of your actor, and then a clean background plate without them in it so you can mask them out later. Ok, next step.
PUT IT TOGETHER!
Ok, just throw your footage into after effects so that everything matches up and looks the way it should look and so that the camera move looks seamless. This might take a bit of time to perfect, but it'll be worth it once you're done.
MORE FOOTAGE!
You now need your smoke. Get your camera set up on it's tripod and face it towards a black background of some kind. If you're using fabric, make sure your smoke is about halfway from the fabric to the camera, so the fabric in the background is blurry and it won't be picked up later.
You want to place one or two lights (i used one) facing towards the camera to backlight the smoke. I'll assume you all know how to do that. Anyway, figure out what you're going to use for your smoke, I used a pipe with some baccy burning in it, and blew through the pipe instead of puffing on it. This made a nice stream of smoke. Also, when you're making the smoke go up, you might want to have someone else waving paper near it to make it go WISP! because you'll want your smoke to be as wispy as possible. Once you've got it, we can start the fun stuff.
POOF!
Ok, make a new project in AE, and import your blackscreened smoke footage. Make a comp and put your footage on the timeline, and apply Brightness & Contrast to it, and also Color Balance. Now, make it look like you want it to, and make the color balance filter so the effect is kinda... blue. It should look something like this:

It's a little dark now, but don't fret. Duplicate it twice, and change the transfer mode on the duplicates to Screen. You might want to rotate one of these dupes a little bit, so that you get a bit more of an effect. Mess with the color balance some more on each of those until you get something similar to this:

Lookin a little better, but it's got a long way to go. Make a new comp and insert your previous comp into it. Make a new solid, make it white and make it the comp size and put it underneath your footage (comp1). Now, change the footage's transfer mode to Classic Difference. Now you have this:

Apply a Brightness & Contrast filter and mess with it until you kinda get something like this:

Now might be a good time to apply Time Remapping to your footage and make it so that your smoke pops in quickly, and then wisps kinda slowly. If you need help with time remapping, contact me. Make a new comp and insert Comp 2 into it. Apply Channel Mixer to the footage, and at the bottom of the effect controls, check the box that says Monochrome. Then duplicate the footage twice again, so you have three of those puppies, and it looks similar to this:

Ok, make a new comp again. This is the last one! Import the last comp into it. Apply Brightness & Contrast, and Color Balance once more to fix it up so it looks real nice. Then duplicate it ONCE and on the dupe, lower the opacity to 50%. Now you should have something that looks like this:

Looks pretty good, eh? But it's not a Bamf ! yet. Just a neat looking puff of smoke. Make a movie from AE, then open your project from earlier with the footage of your actor.
BAMF !
Ok, now you have your beautiful Bamf ! effect. So put it into the footage with your actor, and just as soon as they disappear, put it there. Set the transfer mode to Multiply. So that it looks kinda like this:

I added a Shatter effect on the actor, but I think it looks like crap, so only do that if you like it. And if you do, put a radial blur on it so it doesn't look like crap. Then do the same for when your actor re-appears. You might need to put a keyframe on the Position setting so you can move it with the camera, and also you might need to put a motion blur on it. Just mess around with it until you have something you like. And that's it! Pretty easy eh?
Added stuff: If you want to make some white smoke in there too, take the footage into your NLE and invert it, then export it back to AE and put it on there with your other ones, but lower the opacity a bit so it looks nice.
A few tips: I recommend listening to some music while you do this, so you don't go crazy. And if you start going crazy anyway, go take a break for a little while.
I want to see everyone's finished products, so when you're done, upload it so I can say "Hey! Good job!"
I'll probably add to this when I think of stuff, and if you have any questions, don't hesitate to ask. I'm here to help, and that's what I'll do. So good luck! I hope you get as much as out this as I hope you do.