What effects does Purge get rid of?

Short answer: purge removes all player/mob-cast magic buffs and potion effects. It does NOT remove weapon buffs, paladin's divine shield, mage's ice block, passive abilites, or druid's animal forms.

Long Answer:

Here is a class listing of what shamans can remove from other players:

Druids
Mark of the Wild
Thorns
Regrowth
Rejuvenation
Nature's Swiftness
Omen of Clarity

Paladins
All Seals
All Blessings
Holy Shield
Divine Favor

Priests (thanks to Darkinertia)
Abolish Disease
Elune's Grace (NE only)
Fade
Inner Fire
Levitate
Mind Control
Mind Vision
Power Word: Shield
Power Word: Fortitude
Renew
Shadow Protection

Mages
Amplify Magic
Arcane Intellect
Dampen Magic
Fire Ward
Frost Ward
Mana Shield
Frost Armor
Ice Armor
Ice Barrier
Presence of Mind
Arcane Power

Shamans
Ghost Wolf
Lightning Shield
Nature's Swiftness
Water Walking
Underwater Breathing

Warlocks (thanks to Dionysts)
Demon Skin
Demonic Sacrifice ((No idea))
Detect Invisible
Sacrifice
Soulstone ((Don't think so))
Spellstone
Unlimited Breath

Warriors
Battle shout