SFX are visual effects. It can also produce sound effects, but through referencing separate systems. Not to be confused with VFX, which refers to SpEffectVfxParam.
FFX refers to the file format. It is in Dark Souls 1 and Dark Souls 2. For Dark Souls 3 and Elden Ring, see FXR.

References

Dark Souls 1 FFX IDs by AinTunez

Dark Souls 2 FFX ID List

Tools:

- FXMLR by Meowmaritus, can be downloaded from the Tools page.