How do I generate this effect?

I think the filter that comes closest would be Wind (Filter > Stylize > Wind...).

The filter moves the pixels only left or right, so what I did was the following:

1. Make a selection in the image
2. Make a copy of that selection by using Ctrl (Windows) / Command (macOS) + J or by going to Layer > New > Layer Via Copy
3. Convert that new layer to a Smart Object (right-click to the right of the layer name and select Convert to Smart Object or go to Layer > Smart Objects > Convert to Smart Object)
4. Double-click on the Smart Object to open the PSB file
5. Rotate the contents of the PSB file 90° Clockwise
6. Go to Filter > Stylize > Wind.. and set the Method to Blast and the Direction to From the Left
7. Save the PSB file and go back to the original file
8. Rotate the Smart Object to -90° to put it back in its original position

That looks like Pixel Sorting (Pixel Sorting - satyarth.me).

I was thinking Stylize > Extrude, but I can't get exactly the same look.

It looks a bit like a zoomed right in Adobe Audition sound wave, layered.  The biggest problem with that  is that the resolution would be limited to screen grabbed size

You could always make a brush preset.

Draw a long vertical black line and define as a new brush preset

Set size jitter to 100% and minimum diameter to somewhere between 20% and 50%

In fact leave size jitter to 0% and just use Roundness jitter.  That will keep the shorter lines the same width.

Increase spacing till you get the gaps between each stroke.

Set foreground background jitter to 100% and set the colours you want.

If you want to go crazy, use Hue Jitter

Use multiple layers with longer strokes at the back, and place a black to transparent gradient between each layer to provide depth.  I'm sure you get the idea.

Not the solution but maybe a clue…

Select one row on a duplicated layer

Transform this row

Then will have to give 3d aspect and vafrious heights…