Why use an effect over a filter? (Illustrator CS2/CS3/CS4/CS5)

There are a few advantages to using an effect over a filter. For one, an effect doesn't change the original vector object at all, allowing you to quickly edit the effect. In contrast, filters permanently change objects. Also, you can target and adjust effects directly from the Appearance panel, making them even easier to edit. Finally, you can save effects as Graphic Styles, which makes it easy to apply consistent styles in your designs.

For the record, filters aren't all bad. The advantage to using a filter is you can separate the filter effect from the object. After applying a filter, you can immediately adjust the vector points and paths in the object, while you must expand an effect before you can make similar changes.