Verified answer

Well you're probably looking for either a Digitech type multi effect thing, but those are really expensive and are incredibly terrible for the money. They don't sound that great at all.

What you want to do is have a pedal board. Have many pedals that make a different effect and put them together with patch cables (when you buy them, someone will explain this it's really easy). For example , I have a Cry Baby Wah, an Ibanez TS9, a Rocktron Banshee, a Cool Cat Vibe and the footswitch that goes on my Tube Amp. I can turn these pedals on separately or together or in any fashion I please.

Like Tyler alluded to, you have multi-effects and individual "stomp box" pedals. In general, individual pedals will sound better, but multi-effects are usually a good bit less expensive for the same amount of effects...you get what you pay for. So lets say on one song you want distortion, delay and chorus. With individual pedals you would need to step on each one of these 3 effects to get that. With a multi-effects you could get this by stepping one one preset button. But again, the downside of digital multi-effects is a less organic tone.