Doing some looking around on Effexor and saw this - thought you might enjoy reading it:

 

Effexor's Cons: For many people Effexor XR has the absolute worst discontinuation syndrome of an antidepressant. Effexor (venlafaxine hydrochloride) is a medication people utterly loathe to have taken. It is not uncommon for someone to fire doctors during or immediately after they quit taking Effexor XR(venlafaxine hydrochloride).

 

 

The same site also says that Effexor is for the deepest, darkest depression and seems to be prescribed after others fail.  I'm surprised you started witht that one!