This is a simple illustration of a circle with a drop shadow and highlights.

Fig. 1

Fig. 2

Can you tell which one was created by blends and which one uses the drop shadow and inner glow effects?
Answer: Fig. 2 is the blended circle and the file size is 460KB
Fig. 1 uses the effects and it's a whopping 900KB

Neither one of these graphics makes for a big file, but the difference is try multplying the usage of effects and filters to a couple hundred times when it comes to a more complex illustration.

Don't get me wrong Fig. 1 is smoother at closer examination, but not by much and with practice and really studying the object you are rendering the blends can become just as smooth without using the effects which can increase file size dramatically.

So, have fun with the filters and effects in Adobe Illustrator CS, but caution in heavy-handed use of them.