I've been on both Prozac and Effexor, and each was different. I can't remember all the various things I experienced on each, but I want to ease your mind about weight loss: there is a possibility of initial weight loss on Prozac, and possibly Effexor -- I think I remember Effexor as being more weight neutral, though -- but after somewhere between three and six months, that initial weight loss is likely to go away. In fact, after that point, the SSRIs can cause weight GAIN.

Effexor is a good drug, broader spectrum than the SSRIs, targetting norepinephrine and even dopamine to varying degrees at varous dosages. It can be very effective. As Cam said, titrating up and down rather slowly is important. And the XR is a bit easier, since it can be taken once a day.

Prozac might be a better choice for you, if you responded so well to Zoloft for so long, though. Zoloft is an SSRI, and so is Prozac. If you did OK on Zoloft, you're likely to do fine on Prozac, too.

Another option to discuss with your psychiatrist, though, is whether it's worth giving Zoloft another try. Often, once an SSRI has stopped being effective, a vacation from it can make it effective again. I haven't seen anything saying how long the optimal vacation is, but it's something to think about.

Good luck, and don't be afraid of trying something new. It is a drag, but if you have a bad reaction, you can revisit the question again.