What kinds of charities are worthy of support?

Many people laud donating to charities, but they don't seem particularly concerned with which charities they support. However, I'd like my charitable dollars to do some good in the world -- and do me good in return. So when is it proper to donate to charity? What kinds of charities are worthy of support or not? How can I judge the effectiveness of a charity? Are local charities better than national or international charities?