I guess it depends what condition you're treating. The one I've been on for most of my life now worked best, but now it seems to be slowly killing me. My issue from childhood was always panic disorder/specific phobia, I wasn't ever supposed to be on AD's for so long. For panic attacks though, Effexor XR always worked. Problem is I didn't get those proper diagnoses til a year ago; docs have always claimed I had depression, or (originally) GAD. My therapist and I both suspect I have neither (though obviously, untreated anxiety can cause depression, but that's clearly situational.)
For depression though, I would never have chosen effexor XR for myself, as with depression meds tend to be prescribed longer-term (again, I ended up getting that prescribed after trying a few others, and it seemed SSRI's weren't doing it for me, and/or gave me bad side effects.... also, docs often gave me very high dosages, then when I got bad reactions, they'd be like 'this med obviously isn't working...') From what I've heard, going solely by half-life, Prozac is probably best b/c it has the longest half-life of any SS/NRI, so it's the least difficult to discontinue. That has been my biggest frustration with my meds the past...decade at least, the fact I seem to have gotten twice as bad as I was before any meds at all, every time I've gone off something (zoloft once, effexor twice.)
There are also possibly different "subtypes" of depression, primarily the serotonin based idea, and the HPA one. It's thought that something about the whole adrenal system gets thrown off in many people with depression, and low cortisol and adrenal levels in the brain can lead to depression, along with affecting the other common chemicals (serotonin, etc.) in turn. So with the adrenal-type one I'd think an SNRI might be preferable (but there's not much choice ther besides effexor), or one of the other more "stimulating" ones, like wellbutrin. OR perhaps not even an antidepressant per se - Vyvanse seems to have some anti-depressant effects, especially in conjunction with the other ones. I've heaerd there can be drug interactions b/w antidepressants and vyvanse, b/c the latter also likely has some sort of serotonin effect....but my doctor and my pamphlets for vyvanse never mention that, I found it on the internet.

So again it would probably come down to, most generally, whether the patient wanst a more stimulatory vs a calming effect....typically if you have a more anxious-type depression they'll tell you to stay away from stimulants, including wellbutrin. (though personally I've ended up on both of those, as well as caffeine-dependent, to overcompensate for effexor's total numbing effect and lethargy issues. ironic much? lol.) So yeah you have to be careful about swinging the pendulum too far in the other direction too!