That is a big question!
There are hundreds of different pedals that can provide you will a whole load of different sounds!
My pedal board consists of:
Wah-wah - an expression pedal that kind of makes the guitar make a "wah" sound as you press it down. You hear this a lot in all sorts of music - check out the start to this:
[youtube]/watch?v=HVdhkaIcFSE[/youtube]
Then I use a couple a distortion pedal as I used to go into the clean section of my amp and use the distortion pedal to make the distortion. Of course, there are loads of types and variations to this.
In my effects loop I use delay which is just like an echo - I use just a small amount and can make your lead playing sound so much better when used correctly. In the extreme you can use it to exactly replicate the orginal sound a build up layers like Brian May does:
[youtube]/watch?v=Hs87GuoOvYo[/youtube]
I then use a chorus pedal which is kid of hard for me to explain though it is one of many different effects that slightly alter the sound.
[youtube]/watch?v=q7gGxN8AuZ8[/youtube]
I use a few others though rarely to be honest!
Let me know if you want to know more about any of these or any others!