distortion is a little bit more gainy, for metal, hard rock, etc. where as overdrive is used more in classic rock, blues, etc.
that's my brief description, this question has been asked several times before, so use the search function and you'll find a tone of info.

I recommend the Boss OD-20, it can give you the ultimate distortion, and the smoothest overdrive, and everything in between. it's a very good pedal. I highly recommend it.

as for the wah, I'd say stay away from the GCB-95 (the "original" crybaby) I got one, and it is a very weak wah, not very much range at all. I don't know what kind of wah to recommend to you though, as I'm looking around for one myself.