I had a completely different experience than Yannah.
I have PTSD that sometimes could paralyze me in a moment without too much trouble. I was taking Celexa for a long time and it basically kept me on a even level with severe spikes of anxiety.
I started on Effexor I would say about a year ago now, and haven't looked back. I would say that my anxiety is 85-90% better than it was. That says a lot. I go out more often, I don't get jumpy, and I actually go places without having paralyzing fear.
I don't ever not take my medicine, so I never experienced the side effects, because I know how my anxiety is, and I'd never risk missing it. I never had nightmares when I started taking it. The first week I was really tired, but that I think is normal when you start a new medicine.
I'll say too that there was something I learned in PA school that made me surprised. The side effects that are written for pills? Those are actually ANY side effect any ONE person had of that drug. Someone got a swollen toe from taking a drug? You'll see it there. A runny nose--it gets added. So don't get scared of side effects unless you are one of the people who has one..Trust me on this, the benefits of anxiety medicine far outweigh the downsides.
Good luck with it.

Let me know too, if you have any other questions.