Heavy vocal effects for live performance?

So I've been wanting to incorporate vocal effects for my live performances. I'm in a shoegaze/garage band and looking for heavy reverb, distortion and megaphone like effects for my vocals.

Do you think it would be best to have the vocals run through effects pedals and do it that way or just have the FOH handle it? I know running vocals through effect pedals can be a pain and just adds extra complexity but I'm also worried if the FOH from each venue can give us what we want.

One last thing, would having the effects come out of each band member's wedges be a problem? Would it be better to just feed it to the PA for the crowd and not the band?