The first time I heard about IMGUIs was when Jetro Lauha mentioned them to me at some point. I didn't quite grasp what the idea was at the time.
Next, there was an article in the Game Developer magazine (September 2005, Volume 12, Number 8, Pages 34-36), but that made things even more confusing, as the article didn't simply say what IMGUIs are supposed to be.
Then I stumbled upon the original video lecture on IMGUIs on the Molly Rocket site, and I think I can say that I finally got it.
A locally mirrored copy of the original IMGUI lecture is available should the original not be available - imgui.avi - it's about 60 megs, so be gentle.
I used IMGUI in some form in Boom! Boom! Driller!.
The Molly Rocket site has a forum about IMGUI.
For more tutorials on SDL, go to Sol's SDL graphics / game programming tutorial.
Problems? Ideas? Try the forums.
Any comments etc. can be emailed to me.