Examples--go here to see specific examples for each of the effects
http://amanvalinor.proboards83.com/index.cgi: Aman-Valinor of course. Just in case you should lose your way.
Arwen-Undomiel.com's tutorial page: This isn't GIMP specific, but it is often possible to adapt her tutorials for GIMP.
Gallery at Arwen-Undomiel.com: The source for all of the LotR screencaps
Thread on A-U.com's forum about using GIMP: Includes a few tutorials.
As a bit of shameless self-promotion, my Tolkien site. It does actually have some graphics which relate a bit to what I talk about. /miserable excuse
If you have any links you've found helpful, let me know!