I was diagnosed with major depression and (relentless) anxiety about 8 years ago. My psychiatrist put me on Effexor and a benzo (I think at the time it was klonopin). My experience with Effexor was not good. For the first two weeks, I became hyper-anxious and paranoid, and my benzo dose was increased to counteract. Once I 'settled in' to the Effexor, I would say it was 'effective' at settling my depression but at a great cost. I became narcoleptic and I gained a tremendous amount of weight in a very short time (from a health 180 pounds to 218 pounds in about 8 months.) Due to the side effects of weight gain and wanting to sleep ALL the time, I stopped. I believe I stopped cold turkey; I just didn't want to deal with it anymore and I wanted it out of my system. I have remained on a low-dose benzo regime since then which still works for me despite lots of reports that benzos become ineffective after time.
My psychiatrist no longer prescribes Effexor to any patients because of the many reports of unwelcome side effects.
Your experience may vary to mine (and I hope it does!) Effexor must be effective in some people as it's still in the top ten of prescribed drugs for depression.