Did I miss something in the movies? Qui-Gon is the first Jedi to do the spirit thing? He develops it?
Not quite. He learned it from a "Shaman of the Whills", although it seems he could only appear in voice, and not in full-blown spirit form. It seems that working together with Yoda and/or Obi-Wan, they discovered how to manifest as spirits.
As far as George is concerned, QG was the first Jedi to do it. However, in the Tales of the Jedi
comics published in the 1990s and set thousands of years before the movies, some Jedi were already able to disappear and show up as spirits. I guess over the millennia the secret was lost, and rediscovered by QG.
So what gives with Anakin getting it?
Good question. Maybe he tracked down the Whills and made them give up the secret.