To me, one advantage of using a small amp with effects (I have a Roland MicroCube -- actually two) is that you can use it by itself or -- at least with the MicroCube (not sure about all the other options, and I haven't tried the Vox amps that Kissing recommended) -- connect it to a PA to get more volume, in which case the mini amp becomes a very simple multi-effects pedal. The MicroCube can be battery-powered, too, in case that is needed. Of course, we all like what we like (or think we need), and I bet that using a dedicated pedal provides a better effects sound.