What does Act 1, Scene 3 tell us about the witches' power?

This scene shows us that the witches do have some supernatural power, although we cannot know for certain just how much.  

They tell Macbeth that he will be made the Thane of Cawdor, and this is not technically a prophecy because it has already happened: Duncan told Ross at the end of the prior scene to go and execute the Thane of Cawdor for treason, "And with his former title greet Macbeth" (1.2.76). Macbeth...

This scene shows us that the witches do have some supernatural power, although we cannot know for certain just how much.  

They tell Macbeth that he will be made the Thane of Cawdor, and this is not technically a prophecy because it has already happened: Duncan told Ross at the end of the prior scene to go and execute the Thane of Cawdor for treason, "And with his former title greet Macbeth" (1.2.76). Macbeth isn't aware that this has happened, however, and so when Ross approaches him to present him with his new title, it seems as though the Weird Sisters have foretold the future. It is possible that when they tell him that he will be king, they aren't prophesying but rather telling him something to manipulate him: they might just want to see what he'll be willing to do in order to make this statement become reality. If so, then they perhaps have no real ability to foretell future events.

However, they do vanish (according to the stage direction just after line 81). Being able to disappear into thin air does seem to indicate that they have some supernatural ability, if not the one they claim to possess. At the beginning of the scene, they discuss a number of things which, if they can really do them, would also indicate their supernatural natures: sailing anywhere in a sieve, torturing a man by preventing him from sleeping for a long period of time, controlling the winds, and so on.