I would have to agree that medications can and will affect us differently. There are definitely pros and cons to taking meds, but other than the weight gain, did Zoloft work well for you? As Paxiled said, it can be really hard to find the right med. Also, are you currently in counseling for your anxiety?
Did you ever switch medications? If so, did you end up losing or gaining weight with the Effexor? I am having the same dilemma in regard to switching my meds.
Wellbutrin is for depression, not anxiety. It can cause anxiety in somebody who suffers from it because it's designed to "charge up" a depressed person. Effexor, like all snris and ssris, can cause weight gain. Whether it will for you or not you won't know until you try it. If the Zoloft worked, well, it's hard to find a med that works.