Overdrive pedals essentially add a smooth, tube amp-style distortion to your instrument. The pedals are either designed to replicate the tone of a tube amp or to send a tube amp into overdrive. The tone produced by your instrument is basically amped up to the point where it begins to break, and literally distort. This is a common effect in blues music, and a vital addition to your effects chain if you wish to play blues. Blues-specific overdrive pedals are available, but non-specific ones can still produce a suitable sound. Overdrive pedals also increase the volume of your guitar, so they can also serve as volume or signal boost pedals.
A delay pedal creates a copy of the sound you produce and plays it back a set amount of time after the original noise was produced. The repetition can decay over time, and you can control the amount by which this happens. As well as this, you can set the amount of times the original signals come back. This can be used to particularly good effect during episodic blues solos or licks.
Vibrato pedals produce a rapid fluctuation in the amount of gain on a produced note. This creates an oscillating effect, like when you apply vibrato with your fretting hand. Many players accustomed to producing a vibrato effect themselves may have difficulty switching to foot-controlled vibrato, but players new to the technique will find the pedal very helpful. The effect produces a shimmering effect useful for ending licks or spicing up long notes.
The “wah-wah” effect is one of the most recognizable guitar effects available. Jimi Hendrix was a dedicated user of wah wah pedals, and they can be used in riffs, solos and licks in blues songs. The opening to “Purple Haze” is a particularly wah-heavy one. The pedal produces a shift in frequency, that when moved up and down quickly sounds like somebody saying “wah” repeatedly. It can be used to create a variety of interesting and original effects and add some dynamism to a solo.