EFFECTS, LIGHTING
Physical Effects:
Animation Disc: A slotted or perforated metal disc which rotates in front of a lantern to provide 'movement' in the light. Most effective when used in front of a profile carrying a gobo.
Effect Disc: A painted glass disc rotating in front of an effects projector with an objective lens to focus the image (eg Flames, Rain, Snow).
Flicker Flame: Irregularly slotted rotating metal disc through which light is shone onto a prism-type piece of glass which scatters the beam of light and adds the 'dancing' effect of firelight to a scene.
Gobo Rotator: Motorised device inserted into the gate of a profile lantern that can be remotely controlled to rotate a gobo, usually with variable speed and direction.
KK Wheel: Slotted metal disc which rotates in front of a lantern to break up the light and provide movement. (Flicker Wheel)
Lightning: Created through the use of strobe sources or LED floods. Photoflood lamps were used in the past, but have a very short life, and aren't as bright as the other options.
Tubular Wave Ripple: Horizontal linear lamp around which a slotted cylinder is rotated providing a rising light (as reflected from water onto the side of a ship).
Programmed Effects:
Most modern lighting desks (and some very old ones) have the ability to add 'movement' to lighting states by changing the lighting states in various ways. These effects can be set up to run at the press of a button, or can start or stop when a particular cue is run. 
Chase: A number of different 'steps' are added which are then repeated until the chase is stopped. 
Flicker: Particular channels are set to randomly move between levels, with adjustable timings and other parameters.
Movie Projector Flicker: The effect of flickering light from a movie projector can be obtained with a strobe setting on an LED fixture or moving light. Bear in mind local regulations about the use of strobes. Usually, it is best to have a basic lighting state onto which the flickering is added (using a separate luminaire) rather than flickering the entire lighting state. 
See also: Pyrotechnics
Lighting Effects
Fog, Smoke & Haze On Stage