Unfortunately if you applied your effects to the clips in the timeline you won't be able to get any more selective than the actual (as of CS6) Remove Effects menu :
I can think of a few ways to kind of get around this for future projects but for already existing projects I'm afraid you're stuck to editing each clips individually.
If clips contain more than 1 video effect you cannot remove just one effect with the Remove Effects Option. It will remove all the video effects. You will have to do them one by one.
In case you are not sure about an effect you can nest the clips and then add the video effect in one go and also remove in one go.
(In CS6 you now have Adjustment Layers to add effects).
Thanks. So basically I should upgrade to CS6. Adjustment layers still don't seem like a good solution to me. Not a good balance between granularity and global adjustments. The Premiere team needs to take some notes from the Lightroom team.
What don't you like about Layers?