By skyforbes For Oz, it had it all. The tornado made out of a tall piece of cloth mad e with a miniature farmhouse and fuller's earth dust. Not to mention that it was rear projected in front of Judy Garland as the scene was being filmed. Clouds made of dry ice, fireballs on set, platforms to lower the Wicked Witch leaving and in liquidation. Even the sets built look splendid.
The original Star Wars trilogy had several in-camera effects when on location in Tunisia and in the London soundstages. The miniatures to create the death star and the starfighters using a computer controlled camera and optical compositing, while primitive today, do look advanced for its time. And ILM did it all from scratch. The lightsabers were separately animated.
Other examples include Jurassic Park with animatronic dinosaurs, full-scale sets and only 10 minutes of computer animation. Interstellar with miniatures and several in-camera effects done in IMAX (same goes for The Dark Knight). I can even think the Wes Anderson movies having miniatures and compositing while on a small budget, that's impressive.
Do you have any examples of favorite movie special effects?