With effects, I think the real story is that you can't get good sounds out of budget kit. You're better off not using an effect at all than a cheap effect or one that you don't know how to use properly.
I have a bunch of single pedals and a rackmounted compressor/limiter. Studio effects will always be far better than pedal effects but they will also cost a lot more. There's also a convenience thing. A lot of these great studio effects are designed to be operated by an engineer (by hand), not by a musician whose hands will probably be otherwise occupied. If it's an effect you can just set and forget, or operate with some kind of MIDI foot controller, then it's gig-able. If not, you'd have to get a stomp equivalent.
Having said all that, the entry-level studio multi-effects units will probably deliver a better sound than entry-level effects pedals. Reverbs, delays, auto-wahs etc.
It's hard to generalise about these things though. Give us some sounds you're after and a budget and we'll be able to advise better.
EDIT: In terms of ease of use, all effects pedals are difficult to use if you don't spend the time getting to learn what they do. The controls may be presented in different ways on Multi-Effects units and individual pedals but they perform the same functions. If you don't understand those functions, it won't matter if it's a pedal with 3 controls or a rack unit with a digital interface - you'll have no control over whether you get a good or crap sound.