Effects can enhance your sound, or transform it into a different instrument.
On this page. Effects pedals and units.
Harmonica lends itself readily to a limited number of effects. Having a rich timbre, it doesn't take a lot of effects to make your harmonica really muddy and indistinct. For any harmonica player who's just starting to explore amplification and effects I'd suggest a good reverb first and foremost, then maybe analogue echo/delay. There are a number of good multi-effects units with these in mind.
You can learn a lot from Harmony Central Effects Explained. Also Harmony Central, user reviews is a good place to read up on different effects units, and people's experiences with them.
Distortion for harmonica is generally best achieved using a good combination of
mic and class A tube amplifier (or preamp), eg. Shure 545SD through a
Fender Pro Junior.
Most effects pedals are designed for guitars where gain and cut (treble) are high priorities. But for harmonica this is a lethal cocktail, guitar distortion pedals are an open invitation for feedback!
With all this in mind, it's all the more important as a harp player to try out effects units at a full volume with your own rig before forking out good cash for them.
Make sure you have good impedance matching and control over your sound set up to reduce the chances of feedback. I cover impedance, feedback and considerations under Amplified Tone.