One of the biggest obstacles when you try to get into guitar effects is where to look for them, where can you check out what they do, compare prices, etc, so in this post I'll show you a few sites and tools where you can get started.
Internet stores are real good, because they are reliable, they can get almost anything, fast and cheap, but on the flipside, you can't try them out personally. Because of this, buying guitars from them might not be the best idea (though I think most of them have a buyback policy, meaning you can send back stuff you don't like), but buying stompboxes is alright. Most of them offer free shipping to the US, but you can get good rates for almost any civilized country. My two favorites are ProGuitarShop.com and PrymaxeVintage.com, but there are dozens of other shops online. A great feature of these sites is that you can filter your search results according to the type of gear you are looking for, for example, you can take a look at all the tremolo pedals, without knowing any of them by name. The reason why ProGuitarShop stands out is the gear reviews they post online, these videos are among the most thorough and detailed ones available on the interweb.
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he best place to do research is YouTube. Just by typing a few keywords, for example the name of the pedal you are looking for and it will usually give you quite a few results. Bear in mind that the sound you hear might differ from what it would sound with your gear, sometimes different guitars, amplifiers, and low-quality mics or cameras can alter the sound significantly. Generally, you'll want to check out reviews that show you the gear they use (or maybe even use various kinds of guitars), and most importantly, when talking about stompboxes, you should look for videos that use ONLY the given pedal you are looking for. Two channels you should check out - ProGuitarShop's channel, that I've mentioned before (http://www.youtube.com/user/proguitarshopdemos?ob=4), and Gearmanndude's channel (http://www.youtube.com/user/gearmanndude?ob=4), where he definitely adds his own tone to the reviews.
Amazon and Ebay are two other great sites if you are looking for guitar gear. Amazon mostly sells new stuff, while Ebay has both new and used gear. Sometimes you can get good discounts if you buy on these sites, so always look around before buying something - another seller might be offering it at a much lower price. One thing you have to check before buying is the shipping price, because they can get quite high, especially if you live far from the retailer.
On Ebay, if you know what you are looking for, you can try to look for used gear. You should be careful though, unless you have a full knowledge of the item you want to buy, you can end up with stuff that don't meet your expectations. Always do the research, always look at the photos, most of the times the scratches and other damages are highlighted, so you won't experience any unpleasant surprises after unpacking. Don't even bother buying stuff that don't have pictures of them. You can also ask the seller questions about the item, most of the time they will be more than willing to answer, they want to sell their merchandise after all. Another thing to look at is the feedback the seller has, the higher it is, the more pleased their customers were. Usually you won't find anything lower than 99%, these communities function real well, no one will really try to screw you. One last thing you need to know is that if you buy something on these sites, you are virtually signing a contract, so you are obliged to pay for the things you ordered.