Daisy - Yes, the atypical antipsychotics, even in low dose, can help give that little extra "oomph" to antidepressants. Actually, they can help on the manic end for those who suffer from bipolar disorder and aren't totally relieved by the standard mood stabilizers. Zyprexa™ (olanzapine) has been approved for this indication.
I have seen small doses of Zyprexa (2.5mg to 5mg at bedtime) used to boost SSRI and Effexor XR™ (venlafaxine) effectiveness, the risk of weight gain and Type II diabetes makes me shy away from recommending this routinely as an antidepressant booster. I tend to like to see doctors start by adding a little Risperdal™ (risperidone) at doses of 0.25mg to 0.5mg at bedtime. I know of a few docs who do use this, but I do not believe that the practice is that widespread.
More commonly, I see docs use Seroquel™ (quetiapine) at doses of 25mg to 50mg at bedtime, but personally, I like the Risperdal. More often than not, I see doses of Seroquel being bumped from 100mg to 200mg. I am not saying that this happens all of the time, and for many people, the low dose of Seroquel is enough to help the antidepressant; I just have seen better results with the Risperdal. This is just a personal "feeling" of mine, with no scientific basis to back up this claim.
I find that the Seroquel and Zyprexa are especially used when there are problems with a person's sleep patterns with taking SSRIs. These medications do seem to take the edge off of the ruminations (the cycling thought patterns) that occur at bedtime and make it hard for one to fall asleep. I have found that low dose Risperdal also helps stop ruminations (no, I do not have shares in Janssen Pharmaceuticals - the maker of Risperdal

).
Another medication that I have seen used successfully in boosting SSRI efficacy is an older antidepressant called Desyrel™ (trazodone). This antidepressant was used by itself in doses of 450mg to 600mg a day, but it caused profound sedation and a significant "hangover" effect (excessive tiredness the next morning

) at these doses. Also, some men experienced priapism at these doses; which is prolonged, painful erections, that can cause permanent damage to "little Johnny" if not prompting treated.

Many docs now use Desyrel (or it's generic equivalent) as a non-addictive sleeping pill in doses of 25mg to 100mg at bedtime. As a note guys, I have heard of any priapism at doses under 100mg a day, but theoretically there is a very small risk. Sometimes 25mg to 50mg at bedtime is enough to give an SSRI that little extra "oomph" they need to help achieve remission.
Talk to your doc about these options and see if he/she feels comfortable using one of them to augment your Effexor. It may be all you need, but then again ..... maybe not. It would be nice if this were an exact science.
I hope that this is of some help. - Cam