The compressor is a tough effect to explain if you have not worked it it before. The basic idea is this: As you play louder, it turns you down. So that way you can turn up the quiet stuff without blowing out the doors with the loud stuff. Depending on how fast your effect is set, it can create a very "punchy" tone due to the compressor kicking in. The MXR Dyna Comp is a popular compressor as well as the Boss CS-3.
Tremolo is a volume effect were the volume is turned up and down within a set range at a set tempo. This effect is very popular in 'surf music' The Boss TR-2 or the Voodoo Lab Tremolo are example pedals. Generally the speed and depth are set with knobs on the unit. Some pedals have a "tap" feature, allowing the speed to be setting by tapping your foot on the unit.
A volume pedal is a rocking pedal that takes it's incoming signal and turns it down based on how far forward or back it is set. The Visual Visual Volume Pedal or the Boss FV-500H are good examples.
What do I Use?
I have an old version of the Boss volume pedal on my pedal board. It is over 15 years old and still works great (another reason I love boss). I use the MXR Dyna Comp pedal and am currently in the market for a good tremolo pedal.
If you have favorite pedal in these categories that I have not mentioned, let everyone know by commenting below!