well that's a little vague. depends on your amp and what is important to you tonally. for example, do you have a one channel amp that has little gain and you need distortion because you play metal? or does your amp have plenty of gain as is, but maybe it doesn't cut through the mix. or maybe you feel having delay/chorus/flange is important. or maybe something like a wah or
whammy pedal is important for solos. the sky is the limit, but it really depends on what is the most important for you at the moment.
for me, i knew i would need a tubescreamer/od first. the amp i was using primarily at the time had a decent gain channel, but it was really only enough for rhythm. the tubescreamer added just enough gain for leads and smoothed out the tone a bit too. then i decided i needed compression to level out the clean channel and focus the gain channel a bit. next was a true distortion pedal, which is started running off of the amp's clean channel. and then an analog delay. my sound is fairly basic and i don't use a lot of effects so that's all i need.