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never used any effects at all

Bassballs?

Are you looking for an envelope filter? An octaver?

If you don't know, check the Talkbass Wiki under Categories-->Effects-->Effects Clip Database to hear samples of a bunch of different pedal.

Edit: Looks like Deluge and I had the same initial idea.
 
Everybody else is going to tell you to get an overdrive, but I'm not:

Get a Boss OC-2. It's a bona-fide classic bass effect. The MuTron III might be a legend, but the OC-2's been on as many if not more hit records, and they're still available in abundance so you can pick up a used one dirt cheap.

And they sound fresh.
 
well what kind of music do you mainly play? if you can go to a local music store and try a bunch of different effects. If your looking for an envelope to start with the micro q tron is great for that, relatively cheap and only 3 knobs and one internal trim pot to adjust the volume output of the pedal. If your looking for something funky also consider a wah of some type. Any idea what your specifically looking for in your first pedal?
Be careful thoguh, youll get sucked in and the GAS will never end...
 
If you're on a budget, and an envelope filter might be wanted, the DOD FX-25 (and 25B) is good funkin' value. They show up on eBay all the time.

Or a Digitech Bass Synth Wah really gets freekay; you get the envelope filter, an octaver (and you can run both at the same time), plus some offensive synth-type noises.

I have both these units and love' em. Plus a Q-Tron+ and a Bassballs.
 
In that case Id definitely get an envelope filter or wah, and play around at a local store with as many effects as you can to decide what kind of sound your looking for. Maybe youll want some overdrive or dirt, or an octave pedal, or a synth..or flanger, phaser, chorus ect. The best way to find out is listen to some soundclips and try things out yourself.