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Your first pedal

Since you're new to pedals and effects, I will say a small multi like the Zoom MS-60B, or one of the Zoom B series. They have a built in tuner and lots of effects to play with to discover what you like, while keeping a small footprint for your rig and not breaking your bank. Which individual pedals can do very quickly.
 
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My first pedal was the ProCo RAT. I actually just bought it a month or so ago haha. I did also pick up a TC Electronics Polytune 2 Noir and it saves so much time when I'm changing my tuning, even if I'm just jamming around alone.

I don't want to have a pedalboard the size of a small city, but I have a couple more I want to add on. My friends dad has the BOSS Bass Chorus pedal (CEB-3) that he is going to let me borrow, as long as his dad isn't using it. I also want an octave pedal and lastly: a volume pedal. I don't really need it but I was always so jealous of my guitar friends who would start off a show or a song by having their volume pedal all the way off and would strike a chord and let the volume rise. Plus I think it looks cool haha
 
The obvious answer is a tuner but nobody came to hear that so I'm going to say a parametric EQ that gives you control of your mids and low mids. A high pass filter is super useful as well. Utility pedals aren't sexy but they sure do fix problems.

Only if you see being out of tune as a problem. :)



My first pedal was a Boss AW-3. It sucked hard. I don't miss it. My second pedal was a Swollen Pickle. First fuzz that broke my brain and made me desire moar fuzz. I miss it to this day, but have more fuzz now and I don't actually care that much. It was aight, but there's so many better flavors.
 
So the first ever fx pedal I ever got for my bass was an electro-harmonix big muff pi. I love the pedal though I rarely ever use it in my gigs. What do you guys think the best first pedal to get that everyone uses, or would it be a better idea to get an amp with many built in fx?
I don't generally like built in FX. They don't have enough control.
A standalone tuner is a good idea because 1.) Most pedals have a mute, and that is more useful then you'd realize; and 2.) Messing around with your phone during a gig is cumbersome. You may find yourself needing to tune more than once or may need to change your tuning at some point in a set.
While physically a pedal, you did specify an FX pedal, so a tuner doesn't really count IMO.

What you would want depends greatly on the type of music you are playing and what your role is in the band. What sort of music are you playing, who would you sound like if you could, and what sort of role do you have in the arrangements you play?
 
First pedal I owned was a Boss DS-1, which was of course abysmal when playing with a full band, but sounded kinda cool in the bedroom.

For a first pedal, dirt or a graphic equalizer would seem to be the most useful...if used correctly, a compressor could be a good first pedal as well. Learning curve is a bit more steep for adding on bass effects, most guitar effects can make it through the sonic wall without needing a clean blend or something of that nature, just to be heard. If you put the time in and get the right ones, it can be very worth it.
 
this is my only one so far......beat machine, tuner, looper, 100 effects(distortions, reverbs, choruses), amp and cab simulations. ...well under $100 Cdn....so far so good

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I really like mine.
Tuner is good, amp and cab sims sound good, practice tools are great.
I run mine into the BDI21 I mentioned for a more flavorful sound in church. Using the equalization tools in patches means I can change my whole tone instantly between songs and my tone still sounds organic enough.

A neat trick is to run the sansamp clone in bypass, with blend set to full and volume to 0, then it works as a mute when I engage it. I use that since the tuner mute on the Zoom pedal is a little finicky to activate.
 
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My first pedal when I was a teenager playing electric guitar was an Electro Harmonix Big Muff Pi. I still have it, and it is in my current guitar pedal board.

My first pedal that I bought for bass was a Cherub PT-5 tuner pedal.
 
My first pedal (started off on guitar) was the infamous Boss MT-2 Metal Zone.

I thought it was the coolest pedal back then though :***:

I still own one, although not the same.

Now I mostly use it for noise making, an instant feedbacker, or placed in front of my EHX Tube Zipper (which is partly defect and therefor only works as a fuzz, an awesome fuzz though), to make it go into extreme filthy and uncontroleable fuzz teritory, which it is admittedly quite well at.

I strongly consider to have it heavily modded, by one of my friends who knows a lot about electronics, to make it a bit more useful.