To echo previous comments, I think the best bet is to listen to a bunch of pedal effect demo's from pro guitar shop, even though they are mostly for guitar, to get an idea of what octave pedals, filters, overdrives, fuzzes, chorus, phasers, flangers etc, actually sound like. I am very much a fan of individual, analog effects, but I think something like a Line 6 M5 may be a great first step, aside from the weak dirt sounds they cover a lot of ground pretty well.
A little pedaltrain nano setup with an octave pedal, filter, dirt pedal and modulation pedal will get you 99% of sounds, but yes, it is quite addictive when you start out! Fun though...