One of the advantages of individual guitar pedals is the freedom to experiment. You can experiment with the order they are in to achieve different sounds. Most multi effect units will have all the effects in a set order. Compression and wah wah will be first followed by overdrive, distortion and fuzz. You might then have some amp simulation. Then the next blocks will be modulation, delay, pitchshifting and reverb.
This order of pedals is the general rule of thumb. If you are using an amplifier that has an FX loop, the rule of thumb is that you would put modulation delay and reverb in the loop. This places the effects after any distortion created by your amplifiers pre-amp. This is generally done to keep a clear guitar sound. Reverb placed before distortion can sound very messy. This tends to be the same for delay and chorus. Flange effects sound spikier before any driven tones.
There are always exceptions to the rule of thumb though. Take a classic pop song like Sunday Bloody Sunday by U2. The Edge is using a WEM Copicat Tape Delay running straight into a Vox AC30. The amps cranked and at the point where it is starting to break up. As the amplifier is beginning to distort it has the effect of ducking the tape echo down in volume while notes are played. But will bring it out louder in the spaces between notes. If you put the drive and tape delay in the opposite order it won’t sound as authentic as the sound will be too polite.
Wah usually comes before any distortion in most set ups. If you reverse these two effects the sound becomes more like a synthesizer than a guitar. Another rule of thumb is not to place anything other than a wah pedal before a fuzz. This is because the fuzz pedal needs to see the output of your guitar. Fuzz pedals interact well to changes of your guitars controls. Any active circuitry between your guitar and your fuzz will break that interaction. That said, I quite like to give my fuzz a little push with an Ibanez Tubescreamer sometimes. I find it seems to make the fuzz sound more like a distortion. Definitely a more modern lead tone than the retro sound of an old school fuzz. Stacking various drive pedals together can produce great results when searching for a particular tone.
Not all multi effects have a pre set order. The Boss GT-1000, Fractal Axe FX, Line 6 Helix, and Headrush all have the capability of changing the effect order. You can have the effects in any order you choose. Plus parallel options and many amp models can be used together. This opens up a lot of options for experimentation. It also makes an easier job of recreate other artists’ tones for those playing in cover and tribute bands.
There are rules but everyone knows rules are meant to be broken! I encourage you all to spend some time putting pedals in odd orders and seeing what you sounds come up with.
Happy experimenting everybody.