One of the easiest effects widely used by special effects artists is fog. Though once a specialty item, nowadays fog machines are sold in big-box stores for prices often under $50 -- and they're as easy to use as a press of a button. Light fog effects are sometimes used for the purpose of enhancing the appearance of light beams, but they may also have effects purposes like misty weather or "smoke."
Creating a realistic bleeding stab wound doesn't require hundreds of dollars worth of fancy equipment. Place a kitchen sponge inside a resealable kitchen bag and seal the bag closed. Make a dime-sized hole in the plastic bag about a half inch from the top. To use, insert the funnel in this hole and pour stage blood into the bag where the sponge will soak it up. Strap or tape the baggie beneath the actor's costume at the place where they're supposed to be stabbed. During the scene, the actor will grasp the wound area after the "stabbing" and squeeze the blood from the sponge to spurt out of the hole.
A gobo is a metal disc used to create filtered light effects. The disc looks much like a stencil. When placed over a lighting instrument, the beam from the light shines through the holes of the stencil in that shape. Common gobo effects include the shapes of tree branch shadow for forest scenes, cloud shapes to indicate changes in weather, and the shape of light shining through an unseen window in the area of the "fourth wall," which is where the audience sits.
For sound effects that are too difficult to time electronically, or that don't seem real when you use canned recordings, set up a live foley table backstage. This is a place where a technician creates sound effects in real time with objects on the table. Commonly-used live foley effects include striking coconuts or wood blocks for horse hooves, shoes in a tin of sand for footsteps on gravel -- amplify this with a microphone for a large auditorium -- handbells for old-fashioned doorbells, and dropping large objects in buckets of water for splash noises.
To create the effect of a storm on stage, play a recording of a storm through the sound system. Meanwhile, position a strong area fan just offstage, blowing on stage. To heighten this effect, have a stage hand sit by the fan and toss items like leaves, twigs and tumbleweeds into the jet of air -- they will blow across stage like items caught in the storm. Use only lightweight items that will easily blow across the stage and won't hurt your actors.