I know lots of guitarists who don’t want to spend their effects dollars on a tuner, and while I can appreciate the desire to only get pedals that change your sound, if you are not in tune, no one wants to hear you! I like having my BOSS TU-2 first on my board. It has a bypass out, so I can leave it always on.

Pedals in this category include pedals like your standard crybaby, Z.Vex wah probe, big bad wah, etc. A lot of people like the wah to influence everything down the chain, so they put it up front. If you going to use a simple wah + octave + fuzz setup for a Hendrix type sound, some there is some debate about order:

GuitarWahOctaveFuzzAmp

GuitarOctaveWahFuzzAmp

GuitarOctaveFuzzWahAmp

Compressors come next. Although, just like some other pedals, may work better in other locations for particular reasons. I have been experimenting with the location of my compressor for a while (either before or after the overdrive) and find that when used without overdrive it doesn’t matter (duh), but when used with it, if you put compression before overdrive,
Compression Overdrive / Gain

it has the effect of pushing your overdrive harder so you loose light overdrive sound on quieter parts since the compressor is cranking up your quiet passages. Set right, this can act as an overdrive booster. If used after distortion it simply helps even out the volume differences between the quiet and loud parts without effecting the amount of overdrive on the signal.
Overdrive / Gain Compression

It a matter of what you are looking for out of your sound.

Overdrive, Distortion & Fuzz & Boost go in this area. There is a bit of talk about the order of multiple gain pedals if you plan to stack them (use more than 1 at the same time). Some say to stack them lightest distortion to heaviest, but the best advice here is to mix and match till it sounds the way you like.

If you have a clean boost, you can put it before you overdrive to push the overdrive harder, or after all of them as a solo volume boost.

Once you have your tone from all your compression and distortion ramped up, you might find you have some anoying sounds that creep out, an EQ pedal at this point can help get rid of that or sweeten up a sonic area.

Octave pedals, Vibrato, Harmonizers and other effects that add or alter the notes you are playing. You want you tone to sound best BEFORE duplicating it into different notes.

Chorus, Flangers & Phasers fall into this category where sound is effected slightly by some means (a short delay, a filter, etc) and combined back with itself to create or accentuate certain frequencies.

Level pedals control the volume or strength of your signal. Volume pedals and tremolo are 2 of the most common level pedals. We could put compressors in this category, but they seem to interact better up with the gain pedals, if you choose to add compressor in this section be aware that since it is basically a dynamic volume control it will be greatly effected by other volume altering pedals. For instance
Compression Volume Pedal

This will give you a nice even (compressed) volume that can then be altered by the volume pedal. Almost like controlling the output volume knob on the compressor. Where as this

Volume Pedal
Compression

Would alter the volume going into the compressor perhaps making it so that your compressor never engages when the volume is turned down.

Now Consider this:

CompressionTremolo

This will give you a nice even (compressed) volume that would be volume modulated by the trem pedal. but this

Tremolo Compression

Would feed your wave shaped signal level into the compressor. The compressor would then be fighting with your tremolo turning it down on the peaks and back up when it goes down.

Finally we want to take all this sound and make it feel like it is in some sort of room, hall or other space. We do this by adding delay, and/or reverb.