I'm new to effects pedals as well. My approach was to get a Boss ME-50 and experiment. I liked the set up, the fact that it had knobs that I can adjust "on the fly" rather than digital settings, and it comes with 30 "presets" in memory.

I chose this route because I currently have no clue about what I'm doing, and I can experiment with lots of effects and settings for the price of 3-4 stand-alone pedals. Once I find what works for me, I can focus in on individual pedals.

FYI: I believe the ME-50 has been replaced with the ME-70, which has even more flexibility for the same price.