The side effects of Effexor are many. Although it is a drug meant to treat patients with clinical depression, it can actually increase the tendency to think about suicide and even to act on those thoughts. It can even cause some people to experience weight loss, bleeding problems, and even coma-if coupled with other medications like those taken to prevent migraine headaches. Some side effects of Effexor can even be fatal. So, if you start experiencing an increased heart rate or other serious symptoms, consult your doctor right away. Do not attempt to take yourself off the drug cold turkey, because this too can lead to more serious health concerns.