Up until Qui Gon, all Jedi were absorbed into the Force or “became one”. Their bodies suffered physical death and were left behind just like everyone else. What Qui Gon discovered was that at the point of death, a Jedi can connect with the Living Force. This allows the Jedi's spirit to merge with the Force and maintain its individual identity and consciousness. If the Jedi suffers physical death, he can still maintain his individual identity but his body stays behind. But if a Jedi connects to the Living Force before death, his physical form makes the transition with his consciousness to the next plane of existence. Obi Wan never experienced physical death because he dissipated before Vader actual struck him. Yoda knew he was dying and hung on just long enough for Luke and then made the transition to the Force before suffering physical death.
In AOTC Yoda heard Qui Gon’s spirit shout out to Anakin during the Sand People camp slaughter. This was new to him and evidently he studied what happened and eventually learned how to connect with the Living Force at death as Qui Gon did. But he also discovered that when making the connection before actual physical death, the body makes a metaphysical transference to the Force along with the spirit. This “Trick” was taught only to Obi Wan. It was needed in case one of them was killed before their mission to destroy the Sith was complete. A Jedi could still assist some what from the after life as Obi Wan did with Luke.
Anakin never learned the “Trick”. When he died a physical death he should have been absorbed into the Force just like any other Jedi except for one of a few possible reasons. Anakin was the Chosen One and may have been granted special treatment from the Force. It could also be possible that by being redeemed and connecting with his son at the point of death Anakin my have inadvertently connected to the Living Force. Lucas adds on the DVD commentary that Yoda and Obi Wan helped Anakin join them in the Force. Because Vader suffered physical death and his body (what was left of it) did not make the transition, they must have also been able to create a physical form for him from the last time he was a Jedi.
What do ya think?