Four things, that if you get right, will make your dialogue very effective: integration, unique, punctuation, and avoiding over-use.
1. Integration of speech into your story. It should sound natural and unique to any characters speaking in it. I write speech without the description of who said it and how they said it first. For example:
"What's you name?"
"I don't have one"
This allows me to think quickly, as the characters would in that conversation, filling in the leftovers when I'm happy with the content. Then it becomes:
"What's your name?" I asked with direct eye contact, leaning forward, elbows on the table.
"I don't have one". A Russian accent. It suited her; could've been her true accent. The response indicated detachment.
At the end of the day, you should be able to tell if you've integrate it well and if you feel you haven't, have a play around until you're satisfied.
2. Unique. Speech should be used according to each character and how they individually react to and act around the character or group in the conversation. It leads back to effective character profiling. Understanding your characters drive, motivations and limitations means you'll know how they react to specific situations and therefore how they're going to speak.
3. Punctuation. Every use of speech by a new speaker needs a new line. Also, you should desribe how the speaker spoke in an engaging way, giving the reader more description, than statements like:
"Hi", I said.
"Hello", she replied.
Its much more interesting to write something like:
"Hi", I said, my hands pressed deep into my pockets, my eyes set in a distant stare.
"Hello", she responded, her eyes darting uneasily from pavement to sky and back again.
But, simple dialogue descriptors can work among more complex ones.
The speech and any description of it, are in one sentence. So you don't have full stops at the end of your speech like:
"Hi." I said.
Instead you use a comma like in the first examples, the only full stop being right at the end:
"Howdy," he said in a cowboy-esque manner.
4. Avoiding over-use. You want to describe character/s situation's realistically but only conversations related to the plot and story structure need to be included. For example, introductions can be described: 'we introduced ourselves.' with even parts of conversations written out if the speech is too long. Lengthy dialogue of 'boring' everyday conversations is likely to lose your readers interest.