Is there any differences in effectiveness between pills you swallow and pills you put under your tongue?

No . Not if you take them the way they were intended to be taken. With that being said pills that are meant to be taken sublingually will work more quickly because they are absorbed into your bloodstream more quickly.
Sublingual/swallowed. Sublingual medications typically will enter into the bloodstream faster with faster onset of action than the swallow route. Also, if one is unable to swallow, then sublingual meds are a good choice. Also, if vomiting sublingual or rectal (suppository) meds are best.