Effects units come in a variety of shapes and sizes, some of which produce subtle changes in the sound, some of which transform the instrument entirely. Effects are being used with a wide variety of instruments these days, but most effects units were originally designed for electric guitar. Which form you buy your effects in depends both on budget and use.
Pedals are generally the cheapest route, and the most reliable on the road.
If you're performing and want a solid unit that won't break and that you can easily troubleshoot if things start going wrong, get pedals. If one goes bad, pull it out of the chain and continue playing, albeit with less texture to your sound. If you're recording, however, a rack unit is a must. Also note that not all effects are electronic. And in some cases, these solutions may be more effective than an electronic substitute.