A delay pedal is kind of like an echo. It takes the note you're playing and repeats it in a set amount of time, usually measured in milliseconds.

A lot of lead players use them along with reverb to give the lead a more full sound.

As for cheap pedals, check out ebay. But, if I were you, I would look into an effects board. Much cheaper that way because you don't have to buy 10 different pedals, you just buy one that has all the effects.

Search around Ebay for like a Digitech RP50 or RP3000.