Depending on the guitar I use, I do use a volume pedal in my effects chain. The reason if for the lowering my guitar's gain or volume in the event where the singer in my band starts doing his thing. I know this can be controlled via the volume knob but sometimes my hands just get a tad bit too pre-occupied and silly, I just use my feet instead. The last thing I want is to drown out my singer... :wink:
However, I do find that volume pedals do suck tone. I've been using an EB Vol pedal Jr. with my EBMM Luke, since there are active pickups in the guitar itself, there is literally no tone loss at all.
But stick in a guitar with passive pickups, and there's loads of roll off where the highs used to be. But if it's not all that important to you, the difference is really negligible.
Volume pedals which have been known to have very good tone preservation are the Goodrich and the Hilton volume pedals, previously only reserved for pedal steel players. But they have found their way to the pedal boards of several pro-musician guitars ala. Allan Hinds. 8)
Damn expensive, and impossible to find locally, but they are the real deal.
A few great ones to try out visual sound one as pointed out by gsonique, Great feauture are the LEDs which let you know which levels the pedal is at. The new boss one from what I have heard is not too bad as well.
But so far to me, my fave is the EB Vol Pedal Jr, simple to use...actually idiot proof to use, tuner-out, small in size, and great in terms of the feel. Construction wise, do bear in mind that everything is held together by a string, and it's made in malaysia!
Do also remember to get the right type for your type of guitar, passive or active.