Seems there is always a nice list of scary potential side-effects for just about anything you take. For perspective, read up a bit on some otc meds. Some, if not many of them are a little scary, as well. Always a cost/risk/benefit situation.
For most of us, it isn't a difficult choice once we find one that really does work. Unfortunately, it can take years of experimentation. Then again, some hit gold on the first strike.
I just read the first sentence on the above paragraph and had to laugh. I make it sound like I take one look at life without meds and happily take my pills like a good little girl. The truth is I'm very good at developing a good case of amnesiac denial and quit taking everything only to find myself slapped in the face with the reality of things. Just getting over an episode of that, but learn from my experiences and try to avoid that route.
As for my personal experience with effexor, I ended up swinging all over the place with it. I do that with any anti-d that I have ever tried. Yet, I didn't have any problem with withdrawal. Everyone is different. I have known it to work very well for some people I know.
I wish you luck.