for sure pedals are a good place to start. and i'd go further and say to not go into multi effect units, as most of them have limited tweakability for experimentation with changing sounds (and especially live tweaking).
this actually elides into something i was thinking about this thread in that i'm going a different way than the modular thing . . . i'm lusting after a prophet x. need to try one, but the demos look/sounds pretty good to me. i'm more interested in notes and textures on the fly rather than setting up large modular patches, doing one-man band gigs or planning shows, etc.
not a criticism; an observation of different intentions.
anywho, the other thing is that i recently picked up the boss xx-500 series pedals. while they have some drawbacks (what doesn't?), they do some pretty great things:
1. running two separate effects at the same time. reverb into reverb? delay into delay? yes.
2. pretty nice real-time control via programming a patch to respond to an expression pedal and the onboard momentary (tap) switch. morph between forward/reverse reverb (or delay) via exp pedal. change tremolo/delay/flange/panning speed via exp pedal. change delay times in opposite directions for two different delays via exp pedal (wacky pitch bend effects). trigger tight flange/reverse delay/ring mod/non-linear reverb/slicer via momentary switch.
3. pretty good sound quality (i like it better than the ventris/nemesis i'm moving)
4. stereo . . .
5. you can tweak important parameters from the knobs on the front
6. not super expensive (compared to strymon, etc.)
drawbacks would be not enough pitch change stuff in the md-500; would love to have an emulation of the old srv-2000's gated reverse reverb in the rv-500 (there's something similar, but not quite); maybe some sort of granular delay in the dd-500. would love to have more programming slots for exp pedal assignment per patch (feedback and delay going in opposite direction, for instance). i wish they were a tad smaller, but the functionality is pretty amazing.
say what you will about boss, they're been doing some great work for a long time.