Guitarists everywhere love using effects. The electric guitar is probably the most pimped out instrument there has ever been, with effects in your pedalboard likely to include things such as overdrive, distortion, fuzz, pitchshifters, chorus, flangers, reverbs, delays, compressors, noise-gates, EQs and more! There are so many different combinations and signal paths available to guitarists that they should take a little time to consider their options and to consider the tone that they want to achieve.
Guitar plugs into pedal, pedal plugs into amp
The signal path is the order in which the effects are processed. For instance if you are soaking wet and then electrocuted there is a different result than if you were electrocuted and then water thrown on you. It is the idea that the effects aren't like paints, where the combination a few of them any which way still results in the same colour at the end. It's about finding the right colour inbetween every addition, and building upon it. Every time you add an effect to the sound, it changes it, and the cycle continues.
A normal, standard tuning guitar is fed into a pitchshifter unit that raises the sound up an octave. This sound is then fed into a fuzz pedal that distorts the sound and results in a high pitched smooth distortion, with even spread of frequencies.
The same guitar can then be fed into the fuzz pedal first, embracing and boosting the low frequencies of the guitar as expected. This sound is then fed into a pitchshifter unit where the result is the same distorted sound as before, but with greater emphasis on the low frequencies.
The same can be said for time based effect where they can only sensibly be used one way. Distortion then reverb means that the distorted sound will have echos and reflections afterwards, the whole sound is distorted. Put in reverse and the reverberated sound is a big, distorted mess.
This is of even greater importance in mixing a song where an engineer will consider gating before compression, or vice versa where every step is considered yet another building block towards the finished article. The same should hold true for finding your sound as a guitarist. Build your sound upon a stable, solid foundation one that is shaped correctly to house the different rooms as you switch in and out effects.
What about when I turn a pedal off?
Inactive pedals can also colour your tone. There are two types of pedals in this respect bypass and true bypass. One feeds the sound through the circuit without adding its effect but still introduces harmonic distortion; the other bypasses the circuitry completely and doesn't colour or change your tone at all. There is a crowd that believe that you should use as few effects as possible, arguing that extra colouration when bypassed is unwanted noise. This approach also benefits from having fewer mechanical components that can malfunction on you live - making your sound more about the quality of your amp, the type of tubes inside it, the cabinet it is used with; all the way down to the wood of your guitar, what gauge strings you use etc.
This less is more approach can certainly be of some use, forcing you to be more creative in the way that you use your limited effects and equipment. Playing in a slightly different fashion to accomodate shortcomings may accent and emphasis certain aspects of your playing, helping you develop your particular style for finding your tone is as much about technique as it is your gear.
Aside from changing all the small things regularly to see if you can get a different sound? (Picks, strings, tunings, pickup and tone selection, playing styles). Keep at it. It's taken some artists years and big bucks to get some of the sounds they have. Heck, some of the sounds they have exist on record only and can't be replicated live there's just too many overdubs, too many different amps and guitars mixed into one sound. Be reasonable about the tone you seek with your budget and be realistic but above all be creative, and you might find a way of achieving that sound.