Special Effects are those awesome effects that happen on set. Many directors will opt to shoot in-camera in order to reduce costs later on in post-production. For many directors, they are able to create these effects in a more realistic way, and can often save costs (believe it or not) by blowing up a car on set, rather than trying to replicate this in Visual Effects editing during post-production.
Michael Bay is a big fan of shooting in-camera, and often creates explosions, and flips cars on set, rather than doing it in Visual Effects or CGI. Watch this behind the scenes from Transformers.