Originally posted by: Anti-Matter
Are you sure that Qui-gon should (or needs to) ghost-out at the moment of death? I have to check again, but someone I spoke with seemed to "know" instantly that Qui-gon cannot ghost-out, based on a private conversation between Yoda and Obi-wan.

This was originally all explained in episode III, but as Liam Neeson didn't want to reprise his role the scene was cut. The novel is a must read if not for this scene alone.
In short: when Jedis die, they stop existing, like normal beings. Qui-Gon Jin however learned how to 'join with the Force, yet retain consciousness'. So after he died he was still able to talk with Yoda through the Force. He told Yoda what he had learned and also told him that with training 'perhaps, in time, even your physical self' could be retained.
So there you have it: Qui-Gon didn't disappear because only his mind became one with the Force. Obi-Wan was the first to become physically one with the Force, thus disappearing.

If only it were possible to add this scene to the film (Neeson soundalikes step up please)...