There is no easy way to do this, unless you have iMovie 5 HD. Some methods are better in one situation than in others. Note that you can not undo transitions, effects or titles added to the first movie once it's merged with the second movie. You can of course remove them completely, but the underlying footage will be deleted as well.

Method 1, suitable for raw footage

1. Quit iMovie.
2. In the Finder, open both Media folders inside the Project folders.
3. Drag the clips from one Media Folder to the other, taking care not to replace any file with a new file of the same name. If you want to have the first project intact, be sure to hold down the option key while you drag the files. This will make a copy of the file, instead of moving it.
4. Launch iMovie and open the resulting project. iMovie will tell you it found extra files and will put them on the shelf for you. The movie is still in separate clips.

Method 2, also suitable for raw footage. This has the advantage of always keeping the first project intact.

1. Open the project with the largest number of clips.
2. Select Import File from the File menu
3. Navigate to the other project's Media folder.
4. Select one of the clips and import it.
5. Repeat steps 2-4 until the entire project is imported. The movie is still in separate clips.

Method 3, Using QuickTime Pro. Suitable for edited movies as well as raw footage.

1. Open the first project in iMovie.
2. Export to iDVD and quit iMovie.
3. Open the exported file in QT Player.
4. Export as DV Stream and quit QT Player. If your movie is longer than 9 minutes and 20 seconds, you need to split the movie in smaller parts. No part can be longer than 9 minutes and 20 seconds. Or rather: No file can be larger than 2GB. (You can't do this in the free QT Player; you must have the Pro version.) You might find these Apple Scripts useful from OakStreetSoftware.com
5. Open the second project in iMovie.
6. Import the DV Stream(s) you exported from QT Player. Note that the movie is no longer in separate clips. It's in a large chunk (or several if your movie is long). You can divide a clip at the playhead by pressing Command-T.

Method 4, Using a digital movie camera. Suitable for edited movies as well as raw footage.

1. Open the first project in iMovie.
2. Export to camera and record on a spare tape.
3. Open the second project in iMovie.

iMovie 5

1. Select the clips you would like in the new project
2. Select Copy
3. Open a new project
4. Select Paste Love iMovie5 now huh?

Note: The WHOLE DV CLIP COMES. For example: If you select a 1 second clip, and it is associated with an original DV file of 5 gigs and you applied an effect to that DV file. It will copy the original 5 gig clip AND the altered effect DV clip (another 5 gigs). This allows further and correct editing in your new project.

If you wish to copy particular clips, without the large size and originals, you will have to share/export out a DV file (using the selected clips option) and import that DV file. Also note that the 2 gigabyte limit is now gone so no need to split clips anymore.