NOTE: Portions of this article are out dated, however the basic concepts are still valid. EVs are no longer logarithmic.
Once people discovered the system of what are commonly called EVs in Pokemon, they began keeping track of them meticulously. As a result, competitive battles rose to a new level. Now Game Freak has decided to just let us see them, and give us an alternative method for training them.
I love this new change, because tracking the EVs was always a pain for me so I never did it. Now I tailor the EV spreads to each pokemon and what job they will do in any battle. But a funny trend has happened, people think putting a maximum number of EVs in one stat actually benefits that stat more than say half in two stats.
Bulbapedia shows why this is not a good idea, the effect of Effort Values is logarithmic, meaning that the smaller amounts of EVs in a stat will have a greater impact on the final stat's value. Basically, if you just max out two stats you are wasting at least a quarter of those points. The reason for this is the square root of the value, when something is square rooted it takes more to gain an increase at higher values. From 0 to 4 you gain a +1 to most stats, depending on the IV and base value. For a +2 you will need about 36 points for most stats. That +3 is above 100 EVs .....
You see the pattern now. Though I used estimations on the actual values the general idea is that to get to the next increase you need even more than the previous one. There are some players who have gotten the brilliant idea of optimizing the EVs, which doesn't usually result in maxing anything out. For those who do not have the patience for this, I offer some quick advice.
In the super training screen, increase everything by 12 at a time, you're more likely to hit a squared number that way. Increase one stat until the graph point noticeably "moves," that's about when you will see a difference in most stats. Once a stat you really need is up to that first line, just inside the edge of the graph, consider that high enough.
Other stats that you won't depend on most you can usually go to a point about halfway to that line, and if you don't max out any stats you will find you can reach that halfway point with almost all the stats for the pokemon in question. Another way to make sure you get the most value for the points is to keep track of them and increase to each square value, in other words: 4, 9, 16, 25, ... etc.
I hope this helps with the mystery of how EVs work, and happy gaming.