The last time Brad Hall appeared in a play in the Bay State was decades ago. Indeed, Hall, the 59-year-old former “Saturday Night Live’’ cast member whose wife is “Veep’’ star Julia Louis-Dreyfus, was a teenager at the time. He played the lead in “Hamlet’’ at the Williston Northampton School in Easthampton. Well, Hall is back on the boards now at the Gloucester Stage Company, starring opposite actress Lindsay Crouse in a production of “The Effect,’’ and who do you supposed was in the audience on opening night? Yes, Ellis Baker (below right), who directed Hall in “Hamlet’’ all those years ago, came to see his former student perform.