When you install plugins, they're automatically enabled the next time you restart Audacity. Further instructions can be found here:
Audacity has built-in support for Nyquist effects on all operating systems. You can download additional Nyquist plug-ins, or create your own using the Nyquist programming language. Nyquist code can be conveniently tested using "Nyquist Prompt" under the Effect menu.
Audacity has built-in support for LV2 plug-ins, which are an extensible successor of LADSPA effects. LV2 plug-ins are mostly built for Linux, but Audacity supports LV2 on all operating systems. To install LV2 plug-ins, place them in the system LV2 location then use the Plug-ins Manager to enable the new plug-ins as in the plug-in installation instructions.
Audacity can load VST effects (but not VST instruments) on all operating systems.
VST effects can be found on many plug-in sites such as: