Light beam into sky effect

If you mean this shot:

 then you just start breaking it down by layers. You will need a background layer that has your actors, the set, and the sky. Actually the background could be comprised of a sky layer (called a "plate" in the business), a horizon plate, the middle ground plate or set plate with the actors, and then a plate containing edge details. That plate would have the actors and their immediate set area properly exposed. The horizon details and the sky would also need significant detail. Let's call that the master plate. The explanation is going to get a little complicated so let me just take that frame and build up the plates like they would be assembled in After Effects.

You just start looking at the shot and figure out how to cut things out and insert things between layers to build up a composite image that works for you. Lighting effects can be as simple as a white shape layer that is blurred with the opacity lowered and the blend mode set to add. 

To recreate a particle stream that looks exactly like the one in the shot you'll need Trapcode Particular, which is fairly expensive, but you can get streaming energy fields with Fractal Noise and Turbulent Displace on a thin layer like this:

It doesn't look the same but it can be pretty effective. You can also use Fractal noise as the basics for the storm clouds. You just have to use a couple of copies and set up the masks and blend modes properly so the energy beam can go into the clouds. Something like this: