Things like gaussian blur, drop shadows and inner glows are all raster effects (bitmaps). Illustrator renders them at a fixed resolution. When you scale the image / effect up, illustrator will re-render them, still at this fixed resolution.
In Illustrator, go to "Document Properties". A dialogue box will appear, with three sections to it. In the centre section, marked "transparency" you'll see "Preset:" followed by a flyout that probably says "Medium Resolution" - This can be adjusted to change the resolution of the raster effects in Illustrator. Another thing to remember, is that Illustrator is appallingly bad at displaying raster images - they always print looking much better than they do on screen.
Best thing to do, is change the transparency setting (as explained above), resize your artwork to the desired size, then using the appearance palette, edit the settings of the effects so that they're re-rendered at the size you want them to be.
Alternatively, if the resolution isn't high enough, make the artwork twice the size you want it, apply the effect, then choose Object>Expand appearance. (this stops the blur / drop shadow being a "live" effect, and turns it into a seperate bitmap object. the scale everything back down to the original size. As Illustraotr doesn't resample bitmaps, your effect will now be at double the resolution.
hope that helps!
