I agree with everyone else...give it a try. Keep in mind that it may take a couple of weeks to start seeing some improvement and 4 to 6 weeks (or something like that) to really start feeling better. Also, remember that each of us react differently to medications and sometimes have to switch AD's to find one that works best for us. If Effexor doesn't seem to work for you, don't give up. Talk to your doctor about trying another medication.
Since you are in chronic pain, you may find that being on an antidepressent actually is helping you deal with your pain better. I agree with Jules that talk therapy will also help you with the emotional aspects of having a chronic illness and a good therapist can teach you coping mechanisms and finding something that will work for you to help you cope.
I wish you the best of luck and I am glad to hear that you took the 1st step in feeling better.

Let us know how you are doing.