It's not advised to stop taking any antidepressant medication suddenly due to the withdrawal effects. Effexor XR needs to be taken once a day to keep your blood levels of the drug up to therapeutic levels (basically meaning that your blood's carrying enough of the drug to have it working).
Having said that, if it's making you really sick, you could probably consider either cutting down the dosage and weaning yourself off it over a week or so.
Antidepressants are a pretty powerful bunch of meds as they affect the chemicals in your brain. I've been on Efexor for about 4 years and tolerate it well, but cannot switch or get off it due to the nasty side effects, but am happy to stay on it because my depression is very bad when I'm unmedicated.
Sorry for rambling, basically the Drs and Pharmasists don't advise stopping Effexor XR suddenly due to the withdrawal side effects which can include, but are not limited to:
Nausea, Dizziness, Brain "Tremors"/ Brain Zaps, Fatigue, feeling "foggy"/out of it, swings in appetite, swings in mood, weight gain/ weight loss.
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