When I select an object and apply a drop shadow from the effects menu, then select a different object the effects menu reverts to the default instead of the last settings. Is there a way to copy the last effect used or keep the last effect's settings? In Photoshop, you can copy layer styles to other layers.
Select the old object that has the applied effect you want to copy, then go to Window > Effects to open the Effects panel. Drag the little "fx" icon next to the Object in the list onto your new object to apply the same effect to it.