Deleting All the Effect Layers at Once

To delete all the effect layers at once, hold down F/Ctrl to convert the Cancel button into a Default button. Then with F/Ctrl held down, click Default to delete all the layers. Click the Create A New Layer icon at the bottom of the dialog box to try some different effects.

You can choose which filter to apply to a selected effect layer by clicking on a thumbnail from the filter menu list. Click a folder (or the right-facing arrow to the left of it) to display all the thumbnails in the filter set. Different filters contain different options. As you click thumbnails in the menu list, the settings to the right of the dialog change dynamically to display the available options for the chosen effect. You can adjust the settings as needed to fine-tune the applied filter effect.
To add more effects, click the Create New Effect layer icon and click a different thumbnail from the menu. As you adjust the settings for added effect layers, notice how they interact with the settings applied to the effect layers positioned below. Repositioning  the order of the layers can produce different results. Applying these filters by using effect layers in the Filter Gallery is the only way to get them to interact in this way. Applying them separately without using effect layers does not produce the same effect.
Except when the Filter Gallery effect is being applied to a smart object, you can adjust the effect layer settings only before clicking OK to close the dialog box. Unless you’re working with a smart filter, you cannot make further adjustments to the effect layers after the dialog is closed. Photoshop always remembers the last applied settings every time the Filter Gallery is opened, no matter whether it is applied to a smart object or a regular image layer.