Bob Dylan - Highway 61 Revisited If you want to count a slide whistle as a sound effect. I think it counts in that song since it’s only used for a brief second at the very beginning.
Beatles - A Day In The life, Alarm Clock
Studio recordings that use the sound of an audience as a sound effect:
Beatles: “Sgt Pepper’s Lonely Hearts Club Band”
Procol Harum: “Power Failure”
Yes: “Release Release”
Detroit Rock City by KISS (car engine revving, big crash at the end). Rather annoying actually. I prefer the version on Double Platinum without the effects.
409 (car engine revving) by The Beach Boys.
Hell’s Bells (a bell, of course), For Those About To Rock (cannon fire), and The Jack (pub crowd booing) by AC/DC.
Black Sabbath (rain, thunder, church bell), War Pigs (air raid siren), Sweet Leaf (coughing) by Black Sabbath.
Metal Gods (robots marching, actually silverware being banged on a table) by Judas Priest.
Fireball (some sort of machinery kicking on) by Deep Purple.