In this paper we explore the multi-sensory display of self-avatars' physiological state in Virtual Reality (VR), as a means to enhance the connection between the users and their avatar. Our approach consists in designing and combining a coherent set of visual, auditory and haptic cues to represent the avatar's cardiac and respiratory activity. These sensory cues are modulated depending on the avatar's simulated physical exertion. We notably introduce a novel haptic technique to represent respiratory activity using a compression belt simulating abdominal movements that occur during a breathing cycle. A series of experiments was conducted to evaluate the influence of our multi-sensory rendering techniques on various aspects of the VR user experience, including the sense of virtual embodiment and the sensation of effort during a walking simulation. A first study ($\mathrm{N}=30$) that focused on displaying cardiac activity showed that combining sensory modalities significantly enhances the sensation of effort. A second study ($\mathrm{N}=20$) that focused on respiratory activity showed that combining sensory modalities significantly enhances the sensation of effort as well as two sub-components of the sense of embodiment. Interestingly, the user's actual breathing tended to synchronize with the simulated breathing, especially with the multi-sensory and haptic displays. A third study ($\mathrm{N}=18$) that focused on the combination of cardiac and respiratory activity showed that combining both rendering techniques significantly enhances the sensation of effort. Taken together, our results promote the use of our novel breathing display technique and multi-sensory rendering of physiological parameters in VR applications where effort sensations are prominent, such as for rehabilitation, sport training, or exergames.