The purposes of various effects pedals:

Distortion: "clips" the guitar's signal; a common effect used in most rock genres; makes the sound "fuzzy" or "grainy"; example: Back in Black, by AC/DC

Delay: (echo)- mixes the original note(s) with a set number of repeats; example: beginning of Welcome to the Jungle, by Guns n' Roses

Wah: gives the guitar a wah wah sound; example: Voodoo Child, by Jimi Hendrix

Tremolo: shuts the signal on and off (can be adjusted- smooth or choppy); acts like an automatic volume control; example: beginning of Boulevard of Broken Dreams, by Green Day

Chorus: creates an echo with such a short interval that individual notes are not heard; example: guitar solo in Smells Like Teen Spirit, by Nirvana

Whammy: this is an effects pedal, not an actual effect; it can create the sound of a whammy bar (lowering the pitch), as well as add a harmony to the sound, or perform octave effects (mix the original signal with a new signal 1 or 2 octaves up or down); used frequently by Tom Morello (Rage Against the Machine, Audioslave); example: guitar solo in Killing in the Name, by Rage Against the Machine