doubleofive said:

According to the PT, no one know how to make themselves a Force Ghost until Qui-Gon figured it out after he died (?!), and he taught Yoda who taught Obi-Wan. Which, of course, begs the question on how Anakin himself does it.

Well if you buy the idea that a person can still learn new techniques after they die, then Anakin's appearance makes more sense. In fact, George may have created the character of Qui-gon purely to 'fix' this inconsistency.

I don't think it's necessary to explain away inconsistencies such as Force ghosts though, as attempts to do so usually just draw attention to the problems themselves. Nevertheless, my prequel-free theory is that Yoda (and perhaps the entire Jedi order 800 years ago) knew how to continue in the Force after death, but this mental training was lost and Yoda stopped training new apprentices centuries ago. Obi-wan was the first student in a long time to learn this technique from Yoda, and he actually taught Anakin the mental states necessary to accomplish this feat, though Anakin only recognizes this once he dies.