First off, I guarantee you'll get so much opinion in this forum, so you have to remember that your opinion matters most. There are SO many effects out there you could read up on them for weeks and still miss a few. There are advantages and disadvantages to analog pedals vs. digital effects processing units.

Here comes my opinion:

I only play live with analog pedals (so far :) ) I use a Boss GT-3 effects unit when I want to play late at night (put on the headphones as to not wake the neighbors) or record without having to setup all the mics and stuff. I've yet to find a digital distortion that I absolutely love. I like the delays, phasers, choruses, etc from my Boss, but I'll still use my analog pedals in a live setting because I think they sound better. My advise would be to check out in music store....check out some analog wah pedals, chorus, etc. Then try out the multi-effects units and see what you like....but remember, don't confuse quantity for quality...i.e. if the thing has a ton of effects doesn't mean the effects are good. Good luck.