BOSS US is doing a nice series of videos explaining what some of the basic effects do with demos by the most excellent Johnny DeMarco. It is called Effects 101 and can be found here: www.bossus.com/go/effects_101/. It is mostly aimed at beginners but more seasoned guitarists might like it too (well, I did).
As an example, here is the video about the overdrive effect:
This post is also available in: French