There are many commands for changing the appearance of objects that appear in the Effect menu. Illustrator CS3 and earlier versions included filters as well as effects. Now however Illustrator includes only effects (except for the SVG filters that create effects using pixels).
Effects are live, meaning that they can be modified or removed at any time using the Appearance panel (even after you close the file and later re-open it). When you apply an effect to an object, you change its appearance, but not its underlying structure. It is as if the object is wearing a disguise, and the object's disguise can be changed or removed without altering the object itself. Effects are displayed in the Appearance panel.
The effects in the Top half of the effects menu are Vector effects and they produce results that are vector art and resolution independent. However the 3D, Rasterise, Stylize effects and the SVG Filters produce results that are made from pixels and are resolution dependant (Stylize > Rounded Corners and Scribble produce Vector effects).
The effects in the bottom half of the effect menu are Photoshop effects (or raster effects) and they produce results that are pixel based and resolution dependant.