At first the only real pedal that was available was the fuzz - usually a Gibson Maestro - because effects like reverb and tremolo were taken care of onboard the amp itself, or maybe as an outboard reverb unit. You plugged these reverb boxes in between your guitar and amp, but they weren't exactly pedal-like in their operation. Eventually, new effects started to show up on the market: treble boosters, compressors, Wah-wahs, overdrives, distortions. Octave, phaser, chorus, flanger, tremolo, pitch shifter, talk box, envelope filter, ring modulator, delay. Then there are the auxiliary gadgets: buffers, tuners, power supplies, loopers, noise gates, wirelesses… it's enough to drive you nuts! There's a certain earthly glory to plugging directly into an amp and rocking out - indeed, this method has served many of the greats very well - but sometimes there's nothing more musically appropriate than to plug into a chain of pedals.
But how? In which order do you plug these things in? Perhaps frustratingly, there's no exact right or wrong way to do it, but there are ways that might be more appropriate for your needs, and ways that just don't work for what you're trying to do.
The most logical way to hook up your effects is to plug into your gain-related pedals first (that's stuff like fuzz, overdrive, distortion, EQ, Wah-wah, envelope filter and compressor), then into your modulation effects (chorus, phaser, flanger) then into your time-based effects (delay, reverb). For instance, a fairly standard pedal setup might include a Wah-wah, a distortion, a chorus and a delay. The 'conventional' way to hook these pedals up would be to do it in exactly that order. This will give you a nice crisp Wah-wah sound, rich distortion, chorus that adds a hi-fi sheen to your distortion when both are engaged at the same time, and delay that repeats all of it with plenty of headroom and depth.
But there's another way that might work just as well for you, or maybe even better. Place the chorus before the distortion and you'll get an earthier, more organic, grittier chorus sound which works better for Classic Rock material. It gives you more of a swirly, organ-like shimmer rather than that glitzy '80s Beer Commercial' feel that you get from placing chorus after distortion.
Let's look at a few other pedal placement notes...
* Wah-wah placed before distortion will allow the distortion pedal to interact with the peaks and valleys of the Wah's signal. Wah-wah placed after distortion will sound thick and full, but will not be as harmonically rich. It's worth a try just to see what it sounds like, and although most players swap right back, don't let that stop ya! Some very famous players have gone the 'gain-into-Wah' route.
* If you place a delay in front of a distortion unit, the echo repeats will gradually become cleaner because the distortion circuit will be met with a progressively more gentle signal with each repeat. You can use this to musical effect, and it has a certain gritty charm, but it's probably not the way to go if you're after pristine delay repeats.
* If you're happy with your amp's inbuilt distortion, simply think of it as a distortion pedal and then lay out your signal chain accordingly. Place your other gain effects before the amp, then your modulation and time-based effects in the effect loop,
* Many players like to boost the signal to an already-distorted amp by using an EQ, clean boost, overdrive pedal (generally with the overdrive turned down and the level cranked up) or even a compressor. If you use a three-knob overdrive, try turning all three controls almost all the way off and running the amp on a distorted setting. With many (but not all) overdrive pedals this will give you an almost Brian May-like, sustaining, creamy sound. This tone may not fit in all musical situations but it's a lot of fun to use for key moments.
* A phaser will sound very 'wooshy' and 'science-fictiony' if placed in an effect loop or after a distortion pedal. It'll sound more like vintage Van Halen if you place your phaser at or near the beginning of your signal chain, before your distortion.
* Similarly, when a flanger is placed after distortion it tends to take on a 'jet plane' doppler shift effect. But when you place the same pedal before distortion, you'll hear shifting harmonic overtones that are somewhere between a Wah-wah, a distortion and a rusty gate swinging in the wind.
* An analog octave pedal typically sounds best at the very beginning of your signal chain (because they're so dependent on the harmonic overtones of the input signal).
* A treadle-operated pitch bend unit also sounds best before distortion, if you're using it purely to bend the pitch. If you're using one as a harmonizer - or indeed if you're using an actual harmonizer or pitch shifter - it'll sound clearer in the effect loop. Then again, you can get some pretty entertaining textures if you use one in harmonizer mode in front of your distortion, because you'll get some rather unusual overtones as you shift from one harmony to another over a static fretted note.
* An envelope filter's effect is triggered by the strength of the input signal. You can really mess with an envelope filter's response by hitting it with different effects, such as Wah-wah or tremolo.
* A high-quality compressor can sound great in the effect loop, giving your guitar a mastered kind of a feel. But for that 'Under The Bridge' overly-pinched compressor sound, go through the front of the amp.
Hopefully these tips will help you to find some cool sounds. but don't be afraid to experiment. One particularly helpful tip though: whenever you experiment with pedal order, start with your pedal volumes on zero then bring them up slowly until you find the sound or gain level you're looking for. If you just plug in with everything on ten you could be in for a noisy shock!