Even the way you choose to power them affects how they sound. Therefore, this article will focus on general information about assembling a pedalboard. While my own life got a whole lot easier once I got my pedalboard set up the way I like it, I'm not going to sit here and tell you what to buy and how to use it. On the other hand, a lot of letters I get specifically ask for gear recommendations, so I'll provide suggestions but adding that your own ears and eyes are ultimately the experts. Boss Compressor into Boss Stereo Volume pedal into Boss Dual Overdrive into Digital Delay into Danelectro Chorus.
Compression typically sounds better before distortion.
The volume pedal should go after the compression pedal perchance you want to play mock pedal steel licks. The stereo chorus could go last cuz that way you can split the stereo signal off into two amps. If I had a Wah, I'd put that before the distortion. Any other effect, such as pitch shift, vibrato, flange, phase, etc. should go after the distortion. It also gives suggested setups to fit specific styles of music.