What I found was that Effexor caused some sleep disturbances at first, but they passed after a few days. After each dose increase, they came back, but went away faster each time.

For what it's worth, Cymbalta seemed to do the same sort of thing, but then left me ready to sleep the day away until lowering the dose and adding Wellbutrin.

Best luck to you. I hope the sleep stuff passes for you, too, quickly as it did for me. (Oh, and make sure you take it in the morning!)