Paroxetine (Paxil) is currently the only SSRI licenced for Social Anxiety Disorder. It is also a very effective antidepressant.
Management of anxiety can be either in the form of medications or psychotherapy.
Effexor is one of those medications along with Buspar which are indicated for generalized anxiety diosrders.
Other medications that are equally effective are those that belong to class called SSRI (selective serotonin reuptake inhibitors) like Prozac, Zoloft, Paxil, Celexa.
As you mentioned, other medications like those that belong to the Benzodiazepine class include Xanax, Valium, Klonopin. But this class if drugs are only used for short term basis.
Older medications but still effective are those that belong to the tricyclics class like Elavil, Sinequan.
Another medication that is effective bu has diet restrictions are the ones that belong to the MAOI (monoamine oxidase inhibitor) class like Nardil.
You may want to discuss these other meds with your physician if you find your present medications to be ineffective.