It depends what effects you're refering to. As far as fading in and out and transitions, I did those in Premiere. A few effects can be done with the jk2 engine but most of mine were from premiere, which includes fast forwarding and slowmo. Technically you could do slowmotion straight from jk2 by adjusting cl_avidemo to a higher number for just a small section of the video (say cl_avidemo 60), and then create the video at 30 fps which would give you 50% slowmo for that section. However, it's can be time consuming and you can't really time it specifically to shots.
My first video, Nutritious.avi, was done completely with simpler programs like pjbmp2avi and ACDSee (even windows paint for the inverted colors) so it's a good example of a few effects you can easily pull off without complicated programs.