Guitar Effects Pedal To Improve Your Sound

Listen to an electric guitar plugged dry, into an amplifier. Observe how, as soon as the note is played it pretty much fades away. Note how every mistake that the player makes, is sounded out in all its glory. You only have to see how many professional guitarists rely on small boxes in their signal chain (between the guitar and amp in cabling terms) to beef up their tone, to make it more lush and wet or to make their technique a little more forgiving.
Broadly speaking there are certain types of guitar effects pedals with different sub-variations. Here are some of the more common examples (it's not an exaustive list - check product pages for big brands such as Boss, Mooer, MXR or Electro Harmonix for more):
Delay / Reverb - These FX pedals are great for stretching out your guitar tone using timed repeats for delay or a lush reverberation (think shouting inside a stone building) for reverb. You play a note and you can have it automatically replayed, making your riffs sound bigger and potentially more effective. Listen to U2's guitarist, The Edge on "The Joshua Tree" for some amazing use of delay. This type of effect normally comes in analog or digital formats with the former sounding a little more grungy and the latter going for the clean sterile sound.
Modulation - Chorus, Flange, Phase and Tremolo all come under this guitar effects pedal banner (reduced to Mod for short). Chorus plays back the original signal along with a slightly de-tuned cloned version. The two soundwaves collide to create the effect. Phase and Flange are a little less subtle with a whoosh or aircraft taking off being the nearest analogy here. Tremolo fades the volume in and out to create a wavy effect that is very effective in country and blues. All can give you a richer, more interesting twist to your guitar playing.
Distortion - this effect varies hugely from a soft clipped overdrive to a punch-in-the-stomach brutal high gain guitar tone. Distortion comes via a pedal and often direct from the amp itself using its natural characteristics. Pedals can be useful for a distortion that changes the amplifier's natural sound. For example Vox produce the Satchurator distortion pedal that can give you Joe Satriani's tone (or something approximating it). Valve based technology is popular in the distortion market for it's natural driving characteristics though transistor based pedals can do a great job - just try the MXR M78 Badass for a good example of this.
Looping - not really an effect but very popular for sampling playing and then repeating it back for practice or performance purposes.
Expression - this covers Wah Wah, Volume and Expression pedals. These rock backwards and forwards under your foot to control the sound. Wah was made hugely popular by Hendrix and is used in most genres of music today, producing a "wah, wah, wah" sound that can be controlled dynamically. Volume is useful for fading out your guitar sound and creating volume swells like those of Mark Knopfler. Expression pedals can change an effect parameter up or down with pedal movement. For example you can connect one to some delay pedals and change the millisecond parameter as you play.
Compression - a tricky one to describe but roughly speaking, Compression smooths out your sound, taking the peaks out. It's often used for clean, funky playing and lead guitar. Listen to the product demo for Rothwell's Love Squeeze compressor - great pedal and very popular.
As mentioned previously, there are more pedals than mentioned here and it's up to you to seek out demos online but if you have maybe at least one pedal from each of the above types, you wont go far wrong. Use them with taste and in the right musical place and learn how your favourite players use their effects. Sometimes it is great to just plug into an amp and keep it simple but open your mind to guitar effects pedals and you wont look back.