An effective string theory in physically relevant cosmological and black hole space-times is reviewed. Explicit computations of the quantum string entropy, partition function and quantum string emission by black holes (Schwarzschild, rotating, charged, asymptotically flat, de Sitter dS and anti-de Sitter AdS space-times) in the framework of effective string theory in curved backgrounds provide an amount of new quantum gravity results as: (i) gravitational phase transitions appear with a distinctive universal feature: a square-root branch point singularity in any space-time dimensions. This is of the type of the de Vega-Sánchez transition for the thermal self-gravitating gas of point particles. (ii) There are no phase transitions in AdS alone. (iii) For dS background, upper bounds of the Hubble constant H are found, dictated by the quantum string phase transition. (iv) The Hawking temperature and the Hagedorn temperature are the same concept but in different (semiclassical and quantum) gravity regimes respectively. (v) The last stage of black hole evaporation is a microscopic string state with a finite string critical temperature which decays as usual quantum strings do in nonthermal pure quantum radiation (no information loss). (vi) New lower string bounds are given for the Kerr-Newman black hole angular momentum and charge, which are entirely different from the upper classical bounds. (vii) Semiclassical gravity states undergo a phase transition into quantum string states of the same system, these states are duals of each other in the precise sense of the usual classical-quantum (wave-particle) duality, which is universal irrespective of any symmetry or isommetry of the space-time and of the number or the kind of space-time dimensions.