If you're a noob like me then you'll probably have a lot of fun with an FX box. Since you really have no way of knowing what you need to buy, getting a cheap one like the Zoom is probably a good start. I bought a used Digitech RP300 and I have a lot of fun with it. But like bluesguy said, you'll end up spending more time finding sounds than playing.
From what I've seen the "good" single FX boxes are pretty expensive. I wish we had a section in the forum where people would post clips that demonstrate the various FX they use. I'm sure that some of the great tones are the result of ability and not just the FX, but at least we could get an idea of whats possible. Maybe they could do a straight record into the computer instead of mic'n the amp, so we could hear the effect straight up.
Here's a clip of my G&L S-500 going through a Danelectro Fab Tone. When I got it I tried to learn a ZZ Top lick to see what it sounded like. My wife just recently confided that she tried to not say anything, but my playing this stupid lick everytime I picked up the guitar was starting to annoy her.
So I guess I need to get to work on some of the fingerpicking lessons and learn a real song or 2.
Also, if you're like me when you mess with your FX box it's takes forever to find a sound you like, and then ya forget what the settings are the next time you hook it up. Either that or the setup you saved just doesn't the same.