Shut down iMovie.
Go to your Event file in the Finder. It should be in the Movies/iMovie Events folder.
Within your event, there should be your clips that you imported, as well as a couple of folders called Cache and Thumbnails. There may be other folders as well, such as a stabilization folder if you have iMovie 09 or iMovie 11.
Drag these folders to the trash, taking care not to move your original clips.
Now, restart iMovie, and give it time to generate thumbnails.