my ex was on about 300mg of effexor. there were a few times when she couldn't take it and it *always* ended badly. she would have very vivid nightmares, jolt in her sleep, wake up in cold sweats, and would generally be in an extremely agitated state. she weened herself down to about 120mg and that's what she was on when we broke up. i don't know if she ever finally got off it or what, but what you describe sounds similar to what she went through when she had to skip a day without it. i've had drug problems and have known people w/ major drug problems and i wouldn't wish effexor on my worst enemy.
the only anti-depressant i've ever taken was zoloft (which is an SSRI as opposed to effexor, which is an SNRI). i took it once when i was 18 and then when i was 24 (i'm 28 now). the first time it gave me some gnarly side-effects (debilitating had-to-basically-live-in-the-bathroom nausea, tremors, etc), but the second time, when i was 24, it gave me something that would change my life: my first, full-blown bout of mania. i had been totally depressed for months, then was put on zoloft, then felt infinitely, inexplicably better. i moved to a different city in a different part of the country where i knew no one, was able to get a job and a place to stay within a week, went on tons of dates, had a lot of sex, made a lot of friends, slept next to nothing, had seemingly endless amounts of energy, worked on a friggin' documentary, lost about 30lbs, and felt like *anything* was possible. of course, i had no idea i had bipolar disorder. i didn't really know what bipolar even *was*; i just thought i had depression w/ anxiety. until last year, i didn't know that SSRIs could trigger mania. i saw my first ever psychiatrist last year and he sort of put it all together for me. then he put me on a low dose of lamictal which worked very well in stabilizing my moods, but it gave me a serious, but interesting side-effect: it eroded my short-term memory. if you've seen the movie memento, then you have an idea of what i'm talking about; haha, it wasn't THAT bad, of course, but my computer was covered in post-it notes reminding me to do crap. stuff you usually take for granted. and talking was even a problem because i would totally forget what i was saying mid-sentence. i'm not on lamictal anymore, but i still haven't completely regained my short-term memory. it's still a bit of an issue, although not as bad as it once was. for example, i forget that i even write posts here! summer used to send me PMs and that would remind me to come back to the forum; otherwise, i'd probably forget. it sucks because i used to have a really, really good short-term memory, too.
anyway, pharmies are weird and not things to be taken lightly. the only pharmie i've ever used that gave me no side-effects was ativan. mmmmm, ativan. sweet, sweet ativan. :P