Here are a few techniques I have found useful for building storyboards or click-throughs using Powerpoint and Visio. If you have further suggestions please add them as comments to this article.
Making parts appear and disappear
Use custom animation in powerpoint. You can change the order in which things appear/disappear, and decide whether the effect should happen on mouse click or automatically after the previous effect. Or copy the slide and add/remove the part to/from the new slide. Animation will happen through slide transitions.
Don't do everything in one slide
Otherwise the animation will become unmanageable. I tend to have one slide per step in the scenario. Use your common sense to decide on the granularity of steps.
Use 'callouts' to comment on aspects of the scenario
A callout is a box with text, that has a line attached which can point to a particular aspect of the graphic. I tend to color my text boxes light yellow (like a yellow post-it note). Remember callouts can be made to appear and disappear too. Using callouts saves having to have separate slides with text notes on, which avoids breaking up the flow. The notes can also be set in context.
How to get a mouse pointer to move
Paste in a bitmap of the pointer. Select the bitmap. Use SlideShow > Custom Animation > Add Effect > Motion Paths to define a path along which the pointer should move.
Build/get a graphic for your application shell
A graphic of the application shell can be used as a backdrop for all the other animation. Use Alt-PrintScreen to create a bitmap of the shell for your running application. This works if you're building a plugin for an existing application, or you have an existing application with a similar shell to the one you're storyboarding. Alternatively build a graphic of the shell using the Windows XP template in Visio.