Are there any cheap/vintage lenses that do some effect really well?
Yes; nearly all of them do... and if they don't, they are easily modified to.
I love the idea of Lensbaby, eg: the Velvet lenses, but hate the price.
The Velvet 56mm f/1.6 gives very nice bokeh, but perhaps 1/3 of the old fast 50s out there are competitive with it or better. I would say that the Velvet tries to render somewhat like the famous, old, and pricey Rokkor 58mm f/1.2, which it sort-of does. Just considering bokeh, the M42 Takumar 50mm f/1.4 is easily smoother.
Have seen some great threads recommending lenses with great Bokeh.
Yup. At the top of my list: Sony/Minolta 135mm STF, Laowa 105mm STF, Samyang 85mm f/1.4, M42 Takumar 50mm f/1.4, Tamron SP 90mm f/2.5 macro, .... Note that 3 of those are still available new.
What other lenses create a unique effect?
There is no gimmick that makes great photos; think about what effect you need to make your photos look as you envision they should, then look for ways to create that effect.
If you like really smooth bokeh, you can make yourself an apodizing filter (a filter that is clear in the middle and has dark edges, which is a bit trickier to make than it sounds) and can get STF-quality bokeh out of most lenses. Actually, there are a lot of things you can do with homemade apodizing filters of various shapes that you can just stick in front of most lenses. If you like shallow depth of field (DoF), you can also play with lens tilt. Like different and extreme perspectives? Think about fisheye or even bird's eye lenses. Like horrific field curvature, glow from spherical aberration, or other optical defects? Pretty easy to mess-up an old manual lens by removing or flipping an element or two....
Basically, the key is not to find a lens that does something odd and then shoot lots of photos with it, but to determine what kind of effect you'd like to see and then look for lenses (or mods) to help create that effect. Between minor lens mods and postprocessing, almost any effect you can think of is possible....