This video demonstrates the setup for a Beam Emitter, which are often used for things like weapon effects. This example shows how to set up an arc of colored lightning.
(00:04) - Intro and Initial Setup
(03:13) - Creating the Particle System
(06:14) - Tangents and Interpolation Points
(09:34) - Adding a Noise Module
(12:54) - Recap

A link to the wiki for further notes is available here -