I'm thinking about getting some FX pedals but there are so many different ones out there I don't know what to get! Anyone got an idea of which would be the best to play songs like Zeppelin, Gun's N Roses, Metallica and Iron Maiden ? I'm thinking of getting:

Wah Wah

That's the main 4 and possibly for the 5th either a chorus, delay or tremolo.

The amp I have has a built in FX board (VOX AD30VT) but I'm getting pretty bored of it now!
Delay (I'd reccommend a Boss DD-3 or DD-6) and a chorus (EHX Small Stone is one of the best out there, IMO)
electro harmonix, fulltone, maxon, keeley, all good brands for the more affordable boss, digitech, beringer, dan electro, and marshall

Standard Epiphone LP W/Dimarzio Super 2's
1973 Ampeg VT-22

Fulltone Clyde
Ernie Ball VP Jr
Boss tu-2
Boss sd-1
Ehx Little Big Muff
Fulltone Ultimate Octave
Boss eq-7
Ehx Memory Man
Digitech Delay X-series
Ehx Holy Grail
ive got an digi-tech RP-80...it kinda sucks...i mainly play the same as what you seem too, and i do not recommend any of the digi-tech series! ive a friend who has a line-6 FX pedal, its awesome, the change in the amount of detail of flange,disortion,octaving,phaser and wah is great.