If you like simple sounds like only one type of distortion can satisfy you , go with stomp boxes .
If you want totaly versatile & different sounds , get a multi-effect unit ... It's easier to controle your effects loops , change their order , etc. than having to handle all those nasty wirings & A/B switch boxes.
Personaly , I first started with stomp boxes , I had a DOD DeathMetal dist pedal & a JHS CryBaby wah-peda copy ... Then I got the Boss GT-3 , and I rarely use my dist pedal anymore.
The disadvantage of most multi-effect units is the crapy wah-pedals they've got (for all brands including Boss & Digitech) ... I've never liked wah sounds that are different from the original crybaby.
In Brief :
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Multi-effects : Cheaper , more complicated and versatile sounds , takes sometime to learn how to program it for the optimum tone , simpler wiring.
Stomp Boxes : More expensive , simple (not realy versatile) sounds , easy tweaking for the optimum tone , wiring gets complicated as you get more pedals .
