I am having the same trouble. I am using a Canon ZR65 MC digital video camcorder and iMovie '08.
The Import window comes up, and you can view all the video, even clicking IMPORT allows all the video to be played, as I believe is normal, but when the import is complete, I cannot find the video anywhere. Not under any projects, not any folder that I've supposedly saved it to (I've tried several different folders and hard drives).
Best I've been able to find is some .dv files, but they don't seem to have any video.