The uses for the Effects menu are many and far-reaching. I use the effects for stepping artwork as well as the usual drop shadows and glows. The effects show up in the Appearance pallet. From that pallet you can turn the eyeball on and off to show or hide the effect, or click on it to edit it. When I can substitute a Path>Offset Path for a stroke I will use it. It's so much easier to edit later when it pops up in the Appearance pallet. One trick to using these effects is that they respect the 0,0 x,y of the page so when you rotate the item, the drop shadow will NOT rotate.
What features in Illustrator do YOU like the most?