yeah, those are the rough definitions of the different guitar effects... I'll give a more scientific and in-depth explanation.
Overdrive - emulates/boosts the sound of a tube amp cranked until it cracks up, most people find the sound to be warm and smooth, nice for cleans (use a mild amount of overdrive) or as a booster (connect the overdrive pedal at the start to give the signal a boost)
Distortion - a chunkier, harsher sound. As it's name suggests, the tone will be edgier and rock-style
Delay - a reproduced signal of what you play. e.g. if you play a note, that note will sound again after a certain time
Chorus - taking the signal of your guitar and mixing it with several delayed copies to produce a simulated sound of several guitars
Flanger - takes the signal of your guitar and mixes it with another time-delayed signal of opposite phase e.g. two different pitches, sounds like a jet airplane soaring overhead
Phaser - a delay effect but a
phase delay one, unlike chorus and flanger, but works similarly. Emulates the sound of a rotating speaker
EQ - equalization, similar to the EQ knobs on the amp, allows you to adjust EQ settings without having to touch the settings on the amp itself
Wah - a tone filter to sweeps the frequency of your playing up and down to produce a sound similar to the human voice saying wah (not the singlish version of wah :wink
Octave - shifts the pitch of your guitar signal by different octaves, upwards or downwards. Some guitarists use this as an alternative to downtuning
Tremolo - rapid increase and decrease in volume
Whammy - similar to the whammy bar found on guitars with tremolo bridges
Reverb - Produces a reverberation effect similar to natural acoustics in a room
Volume - simple, a volume pedal. Controls the volume of your playing without touching the guitar or amp volumes.
EDIT : Tremolo and Whammy changed (Thanks Shredcow
)
EDIT : Mixed up Flanger and Phaser (Thanks Shouheng
)