It's normal when you play the first time your guitar you get a little dissapointed because you can't get the sound of your favorite artist. But how they get their sounds? Besides their technique and the amps, the use pedals. The pedals are boxes with circuits plugged between the guitar and the amps that modifies the sounds, but not only you can obtain sounds with the peddals, also you can use multieffects, and effects integrated in the amps.
The distortion was invented one day when a guy was playing the guitar with a lot of volume and the amp was overdriving, and he liked the distorton that it made. After the years people improved the distortions and they invented a diferent kind of distortiions like:
Distortion: Well, it's the standard distortion, it uses to play rock, make solos, etc. Bands like Aerosmith, Guns and a lot of bands uses them, it can changes depending of the amps etc..
Overdrive: that pedal is used with a little distortion, for example, you get a little distortion with your amp, and plug the overdrive, and you get a crunchy song, like hot, it uses to make rythms, and sometimes for soloing. This distortion is like noisy buy it's not heavy like other distortions. Bands like Rolling Stones, Pearl Jam, ometimes Guns N' Roses uses that effect.
Fuzz: Was used in the 60's and 70's. It is like the overdrive but the sound is like Vintage. Now bands like Strokes, White Stripes and that bands use it.
Blues: This distortion as the name says, is used to play blues, is familiar of fuzz and overdrive. Clapton and that kinds of guitarists love this sound.
Lead: It's like distortion but it has more Gain, and it's for make solos, like Marty Friedmand and Slash. You maybe can't get this sound in pedals, but you can get in the amps or multieffects.
Reverb: It produces a normal echo, for example imagine that you play in your bathroom, an empty house or in a hall.
You can change the level of reverb and the kind. This is not common in the pedals, you can almost always get on amps or multieffects because it's a must have, is not a crazy effect, it works if you don't want that your guitar sounds dry.
Delay: This is an echo, that repeats the sound (2 times, 4 times etc, in different times), like if you were in a very big open place, you shout something, and it repeats. This effect produces an athmosferic sound, it's very sugestive. It's common used to make songs with feeling like Radiohead for example.
It's supposed that Pink Floyd nvented this effect, (Another brick on the wall), bands like Smiths, The Cure and U2, used a lot the delay, in fact, it were the bassis of their music. Nowadays, bands like, Radiohead or Coldplay uses that effect.
Flanger And Phaser: That effects are almost the same, you can hear that the sound is being sweeped, but the flanger for example it sounds like an aeroplane, is like a harder sweep but is not very pronounced. And the phaser is like fine sweep but very pronounced, the phaser sometimes is used to play solos.
Chorus: It's like a 12 string guitar, and it's sound like full. Black Hole Sun by Soundgarden it's an example.
Tremolo: Some people think that is delay but is very different because the tremolo, cut constantly the sound and it sounds like a ship. Songs like How Soon Is Now (Smiths) and Like A Stone (Audioslave) have tremolo. This is the tremolo effect, but other diferent things are called tremolo. For example tremolo also is when you pick constantly and quickly a string, or the whammy bar is called tremolo.
Compressor: It "calibrates" the sound, for example, a higher tone could hear louder than a lower tone, but the compressor makes that it doesn't happen and all the tones sound at the same volume, also it gives more gain and by that, this is used to make solos.
Wah-wahs: It changes the frecuences constantly, is like the cousin of the phaser, but it makes a sound like if the guitar were saying "waaah". There are 2 forms of wah wah, the auto-wah, that the wah increases with the attack that you give to the strings. And the manual wah is a pedal, like a car pedal, where you manipulate the wah as you want. Jimmy Hendrix invented that effect, and it's used for soloing.
Reverse Delay: The way to produce the sound (circuit) is almost the same that the normal delay but the sound is very different, with that effect the guitar sounds like a violin, because it supress the hiss that you give to the strings, and produces a soft attack.