My version: Jedi's are wise, spiritual, enlightened dudes. When they die, they become 'one with the force', they transcend the physical and progress to a higher level of existence.

George's version: something about Qui-Gon teaching Yoda who taught obi-wan and somehow Anakin figured it out and when he died he became one with the force, but it wasn't his old self it was his young self because that's how he was before he turned to the darkside. Or something. For more info, read a whole load of EU novels.