Adobe Photoshop has 10 different layer effects that I will briefly describe here. The best suggestion I can give is to experiment with all the different options to see what works best for you.
Bevel & Emboss will allow you to give your layer a beveled edge to make it look more dimensional. You can also add texture to your layer.
Stroke will stroke the edge of your layer with a color, gradient or pattern. By default the size is 1 pixel wide but you can increase that.
Inner Shadow is similar to a drop shadow except the shadow appears inside your graphic and not outside. You can change the angle of the shadow as well as the size.
Inner Glow adds a soft glow to the inside edge of your layer. I opted to change the background to black for this screenshot so you can see the faint yellow border inside the edge of the red circle. I probably should have made the size a little more than 5 pixels so you can see the glow better.
Satin is an advanced technique used to give certain textures, like glass and metal, a more realistic effect.
Color Overlay is just that: you're overlaying the layer with a color. In this case I picked green to show you how it works. You can also change the opacity to combine colors. For example, had I used yellow for my overlay color and set the opacity to 50%, the circle would be orange.
Gradient Overlay is the same as Color Overlay except now you're overlaying the layer with a gradient. You can also adjust the opacity and angle for different results.
Pattern Overlay is, again, the same as the previous 2 effects except this time you're overlaying the layer with a pattern. This effect is especially handy when you reduce the opacity as it gives the layer a textured look while retaining some of the color. Of course I didn't do that in this screenshot so you'll have to experiment.
Outer Glow adds a soft glow to the outside edge of your layer. This effect works well when you want your layer to look like it's glowing.
Drop Shadow adds a drop shadow to the outside of the layer. This also adds dimension to your graphic. Play around with distance, size and angle to get the effect you want.