The thing that I did way back when I was totally at a loss with pedals, and the way I would do it all over again, was I bought a Multi-Effects unit. People cringe at that because they tend not to sound as good as individual pedals, but it's THE cheapest and easiest way through this journey. Eventually, I got a slightly more expensive Multi-Effects Processor (the Boss GT-10B) which I felt compared sound for sound to some of the more basic individual pedals. This got me through a few years....it sounded good enough to play locally in a band, get lots of local praise for my sound, and allowed me to know what sounds I liked and what I wanted to avoid.
Recently, my band started doing regional stuff and we're talking about getting a pro recording thing going...so I'm making the leap to higher end individual pedals. I now know that all I need is a nice overdrive, fuzz, chorus/flanger, and possibly a compressor and I'm good to go....and that Synth, Delay, and other stuff like that I don't like and would never use...
So...long story still long, my opinion is go with the Multi Effects unit. Play around with it. Learn what you like. Then go individual pedals. There is no way you will find what you like just by reading what other people use and why they use them. That road will cost you thousands of dollars...as opposed to a slightly lower thousands of dollars...
