In my old version of iMovie (iMovie HD 5), files for a project are saved as a package. Locate your your project in Finder, CTL or Right-Click the project's icon (which represents this package, not just a single document or file), and select "Show Package Contents." This will open a folder, within which there will be a "Media" folder. Your clips should be in this folder. I do not know if newer versions of iMovie do this differently.
Chuck is right about old versions of iMovie. The media lives with each project file, no matter where that file is.
The latest iMovie (Version 7, a.k.a. "iMovie '08" confusingly enough) changed this method.
Think of the new iMovie as being more like iPhoto.
iPhoto Library = iMovie Event Library
iPhoto Albums = iMovie Project Library
In other words, ALL your video stays in the iMovie screen ALL the time. There are no projects to open and save and close. Just a big iMovie window that lets you navigate through different timelines (what they call projects).
So now, like with iPhoto, the files are kept in your user account folder, in the "Movies" folder. If you're in iMovie, though, you can right click the file and say "Show in Finder" and it will bring the clip right up.