The Ghostbusters movies wouldn't have been as impressive if it hadn't been for the special effects. While the ghost effects were not too noteworthy (I mean, they looked the same as the ghosts in some early black and white film versions of “A Christmas Carol”), I personally thought the terror dog puppets were extremely life-like. The shots of the dog running were a little cheesy though, and I noticed that even as a little kid. The streams were animated, but the accompanying lighting effects and sparks signifying a hit with a beam were great.

I'd have to say some of the most impressive fx were in GB2. While the whole Statue of Liberty scene has been viewed as over-the-top, I thought it was pretty well done.

I dont know how technically impressive it was, but one of my favorite scenes has always been the Marshmellow Man one. That looked great. My other favorite effects scene from the first movie is when Peck turns off the containment grid and all the energy is released over NY.
My favorite effects from GB2 are:
The Titanic arriving at the dock complete with ghost passengers.
The ghost train in the tunnel.
The Sceleri (sp?) brothers in the court room.
The river of slime.
The eclipse.