Some explanation (I have missed out effects that I don't know how to use myself yet or that are sufficiently explained in the above w/u):

For most effects, specifying the effect letter with 0 as the value means 'continue effect with last effect value'.

Axx - Sets the speed in ticks per line. For instance, if you set the speed to 3 (A03) each line of your pattern will take three ticks to play.

Bxx - Jumps to pattern "xx" where xx refers to the position of the pattern in the song. The first pattern in the sequence is pattern 0 (regardless of its actual pattern number)

Exx - Pitch slide (portamento) down. The xx is the number of semitones that the slide will go through in 24 ticks.

EFx - Fine pitch slide down. Similar to above, but at half the speed (ie - the x specifies how many semitones to slide in 48 ticks)

EEx - Extra fine pitch slide down. A quarter of the speed of the regular pitch slide.

Fxx, FEx and FFx work in the same way as above.

Gxx - Portamento (pitch slide) to note. Specify a starting note (if none specified, the tracker will use the last note played on that channel) then specify the note to be slid to:

|C-5 01 ... ... <-- note to start on
|... .. ... ...
|... .. ... ...
|... .. ... ...
|D-5 01 ... G03 <-- slide starts here
|... .. ... G00
|... .. ... G00 <-- slide continues until it hits the target note
|... .. ... G00
|... .. ... G00
|... .. ... G00
|... .. ... G00
The Portamento To Note effect will work either up or down in pitch, depending on the relationship of the two notes. It is different to Exx and Fxx because the slide stops once it hits the target note. The parameters work in the same way, however.
GFF will make a sample slide almost instantly from one note to another. This is great if you have several notes very close together, as it creates a 'slur' effect. Instead of the sample being played from the start for each note, it is only played once, but its speed is altered throughout its length. This makes quickly-played notes sound 'smoother' as the notes merge into one another.

Jxy - Arpeggio. This will play the base note, followed by a note x semitones up from it, followed by a note y semitones up. The three notes are played within the space of one row in the pattern, so the arpeggio speed is directly controlled by the pattern speed (Axx) as well as the tempo.

Kxx (vibrato + vol slide) and Mxx (portamento to note + vol slide) are combined effects. The parameters for the first effect are taken from the last effect of that type used.

Mxx - Set channel volume (xx being a hex value from 1 to 80. Higher values are ignored.)

Oxx - Set sample offset in 256-byte blocks. Good for chopping off troublesome transients or playing a sample in (rather rough-sounding) reverse. O01 offsets playback 256 bytes into the sample, O02 512 bytes, and so on.

SAy - Set high offset. Used together with the Oxx command, this sets the offset to yxx*256 bytes. Set it before you use the Oxx command.

Zxx - Macro. This is an interesting command, especially as I haven't seen it covered anywhere else, and have only seen one song using it. Essentially, it's a configurable command where the value can dynamically alter various different tracker settings. In ModPlug, the exact settings that are altered can be changed from the Zxx Macro Configuration dialog, which is accessed through the Zxx button on the toolbar above the Pattern window. The most useful settings will probably be: Z00-Z7F controls Filter Cutoff or Filter Resonance, Z80-ZFF controls whatever Filter setting the first macro isn't controlling.

Use the Zxx command beside a note to temporarily change the filter value for that note. For instance:

|A-3 08 ... Z00
|A-4 08 ... Z20
|A-5 08 ... Z40
|A-3 08 ... Z60
Used with a harmonics-heavy wave such as a saw wave, and with the Zxx command set to adjust Filter Cutoff, this creates a nice swelling filter effect.
I'll write more on the Zxx commands (specifically the Fixed Macro range, Z80-ZFF) once I figure out how to use them. Also note that WinAmp's MikMod mod player seems to have trouble with Zxx macros.

The easiest way to get to know these effects is to download as many good tracked songs as you can, and use a tracker such as Impulse Tracker to look at how the songs were constructed. Pull them apart and see what makes them tick.