Now for my effects pedals, I have a few of the Boss pedals.  They're great pedals that are durable and you can find them on ebay for a steal.  I also have a couple Zoom multi-effects pedals including the GR-707, 504, and 506 Bass.  For a quick plug and play you can't beat the Zoom pedals.  They might not have the highest quality sounds but for the money you can't beat them.

My current rig includes the Johnson J-Station.  

 
Johnson J-Station Modeling Pre-amp

It is a modeling effects device that allows you to hook up to your computer and control the sounds via the computer.  You can also control the patches by using a midi foot controller or the Johnson foot switch.  I am using the MIDI Buddy.  The J-Station is a great all around device and it also gives you a S/PDIF out so you can connect directly to your sound card (Sound Blaster Live!, etc.).  It greatly reduces the noise and makes for easy recording into the computer.

Here's a neat little device called the e-bow.  It takes a while to get used to but you can get some great violin and horn sounds with it:

 
EBow PlusEbow Electronic Handheld

But if you really want to get some sounds like the keyboard player then you might want one of these Roland gadgets:

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