Yes, shock advertising is effective in changing behavior, because I remember some of it. I remember the person who cracked an egg and asked if it was my brain on drugs. I remember the person who put cigarette ash in their mouth and said, "Smoking stinks...yuck!" These ads were impressionable on me and I avoided those behaviors.
Shock advertising can be very effective in changing behavior. By making these issues public, it draws attention to them, which can have a positive impact on the viewer. It's also effective in creating a national discussion about these topics and as more people come to realize how engaging in this form of behavior leads to negative consequences, behavior will be modified or never partaken in the first place.
Remember the "this is your brain on drugs ads?" They didn't exactly do a good job of stopping drug use.
These ads create ridiculous and extreme situations that are completely unrelatable. It's easy to brush them off and say, "my drinking isn't like THAT," or whatever. The only way to change behavior is to create reasonable and relateable messages that connect with people.
I do not think that shock advertising is effective when it comes to changing some behavior such as smoking and drunk driving. I think that it is more important that such commercials instead focus on giving people the truth and being honest with them instead of going for shock value.