1. Choose your source.
The blast has to come from somewhere. We put a circle here for tutorial purposes but you just pretend it's a gun muzzle or someones hand.
2. Make the base of the bolt
Use the polygon lasso tool and click out a blast beam selection in perspective like you see here.Make sure it's on it's own layer. Fill it with a good bolt color...light blues, purples, greens and reds are good. Make sure it's a bright color high on the saturation.
3. Getting in touch with your inner bolt
Now create a new blank layer above the outer bolt. ctrl+click on the outerbolt layer to make the bolt a selection. Contract this selection by a few pixels and fill this new contracted selection with white on it's own layer. You should now have something like you see here.
Apply a gaussian blur to each layer. Play with the settings... We used a 2.5 pixel blur...you may need less or more depending on the size of your picture.
This technique also makes a good light saber.
5. snap, crackle, pop
On another new blank layer, grab your paintbrush, set it to 1 pixel, 100% opacity, normal blendingmode and brush out some lightning forks along the beam.
If you have photoshop 5 or higher you can apply the "OuterGlow" layer effect to the lightning layer. Use the eyedropper to select the outer glow color from the beam itself and then you're done.