Effects gives the guitarist a variety of different kind of sound and tone just like a color palette to an artist.

There are 2 kinds of effects in general:
1) Analog
2) Digital

I will not enter into a debate as to which is better but i can conclude into these few points after playing with both for many years.

Convenience - Digital
Tone and sound - Analog
Portability - Digital
Recording - Digital
Price - Digital

Seems like digital effects have much more of an advantage. However I chose to go with Analog as tone and sound matters alot to me when playing live. Below are the details of my effects board and i must say (It is always changing!)

Guitar >
Love Pedal - Eternity > (Use for worship - TS OD type pedal with mid hump)
BJF - Dyna Red > (Use for praise - typical planet shaker distortion tone)
Fulltone - OCD > (Use for praise or worship - A more transparent OD pedal)
Skreddy - Screwdriver > (Use as a solo boost)
Ernie Ball - Volume Pedal > (Use for volume swell and to control volume in worship)
Boss - TU2 and Boss - CE2 > (Use for worship by adding chorus to the tone)
Empress - Tremolo > (Use in praise or worship)
Redwitch - Phaser > (Use in praise)
Boss - DD20 > (Use in praise or worship especially wheing soloing or doing dotted eights stuff)
Amp Fender - Hot Rod Deluxe

Analog effects are really expensive but worth the investment. If you are looking for a digital multi effects, the best right now to go for is the Boss GT8 or the POD X3 or XT series. I have been using POD since i started electric guitar and its really one of the best out there. If you have any questions on effects, just drop me an email and i will try my very best to help you out :D