First, TAFKA, I think he might have been talking about a compressor. They're often labeled as sustainors.
uh oh, caught while I'm drinking...
I don't care for on-board effects for several reasons.
1) The only guitar I've ever touched that had built in effects was some Explorer knock-off way back in the day. I think it was made by Synsonics, but don't quote me. The neck was a baseball bat and the effects were thin and nasty. Yes, I know, poor implementation...
2) I hate batteries. Especially the ones where you need a screwdriver to replace them. There's no good easy way to run 9v DC into your pickguard.
3) Flexibility. a) What if you want to put the comp or gain after some of the other pedals on your board? b) Some pedals - old wahs and some overdrive pedals - actually do what they do best when interacting with the impedance of the pickups. If you put a buffered gain stage in between you won't get the same response.
4) Parameters. How many switches and knobs do you really want on your guitar? Around here, I guess the answer is "How many you got?" But if you've already got a superswitch, 3 push-pulls, a varitone, etc, do you really need also a boost switch, gain knob, comp switch, threshold, attack, decay, gain? Maybe you think it would be convenient to have it all at your fingertips. If you're already playing with power tools wouldn't it be easier to build that effect into a wah-shell so you can wiggle your whammy while varying your gain?