One of Ableton Live's strong suits is its assignment scheme: You can have only one assignment per parameter, but you can assign any incoming MIDI to as many destinations as you like (as long as they're not already assigned to something else).
There are as many variations on this concept as there are artists who use Ableton Live, but here's how the basic setup works. Create an Audio track and drop in two effects (maybe a Delay and a Phaser). Enter MIDI Map mode and assign one of the knobs on your MIDI controller to the on/off button for both devices.
While still in MIDI Map mode, find the two assignments in the MIDI Mappings Browser on the left. If you scroll to the right you'll see the Min and Max settings for each assignment—this is where the magic happens. Values inside the Min–Max range will enable the device; values outside will disable it. Set the values for both assignments to overlap or not, depending on how you'd like your knob to react as you turn it. Exit MIDI Map mode, and turn the knob to see how it reacts.
This can get as complicated as you like. Some producers, for example, use one knob to control 10–20 effects at a time, using complicated Min and Max value schemes to fine-tune when each effect is enabled or disabled throughout the course of the knob's turn. Take some time to fiddle with what you control and the value ranges for each, and discover how you can do a multitude of things with one single knob-turn!