Your First Effects Pedal

So im at like that stage where you want to start buying and trying effects pedals to fool around with your sound. And im wondering if theres thinks I should be looking out for in your opioin or bad experinces you may have had. Im going to be slowly building up a collection of stompboxs to achieve the david gilmour sound but im wondering if you people recommend one of those floor board panel things instead that have a hold bunch of stompboxes built in.

Just wondering what you guys have to say.