A light effects projector includes a light source and effect wheels interposed between the light source and an exit aperture of the projector. A gobo wheel includes a plurality of apertures and gobo holders containing gobos. The gobo wheel is adapted to rotate so as to place a gobo, which is retained in one of the holders, within the light path from the light source. The gobo holders of the gobo wheel are removably secured to the gobo wheel by a spring retainer that engages flange portions of a gobo holder. The projector further includes a cooling system to cool the gobos during operation. Additionally, the projector includes an effects wheel that provides a “frost effect” portion to variably distort light from the projector.