Ok so here's the thing:

I have a Peavey Bandit 112 (Transtube Series), it's a great amp, I like it, but I want to improve it with pedals (by the way I use an Epiphone Les Paul Standard).

One of my friend told me that running pedals on a transtube isn't that good...

Please someone tell me what pedals to avoid (and why)!!

probably just avoid pedals that are meant to push the front end of an actual tube amp, like overdrive pedals. Any other pedal should work just as well as on any other amp though. Does it have an fx loop? Sometimes pedals will sound better on the loop too, just depends on the amp and that specific pedal. Things like reverb, delay, chorus, modulation, etc. "usually" sound better on the loop, but there is no rule.
"The fool doth think he is wise, but the wiseman knows himself to be a fool." - W.S.
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Right on... just to elaborate.... I have a Randall RH150G3...one of the new Randall solid-state heads with the tube preamps.... I was trying out a boost pedal (the BBE Grande Boost). When I put the pedal in line between the guitar and the amp, it didn't make a lick of difference, as I had so much overdrive already that pushing the preamp harder was pretty pointless. I put it in the effects loop, and it gave all the extra boost I wanted, and was nice and clear. It really didn't change the tone at all, except maybe gave it a bit more sparkle... in true BBE Sonic Maximizer fashion. Not really pronounced, though.

Could I get some more talent in the monitors, please?

I know it sounds crazy, but try to learn to inhale your voice. www.thebelcantotechnique.com

Chris is the king of relating music things to other objects in real life.