Tone freaks!

To summarise Billy Corgan put it simply at the start of his series of articles in a well known guitarist magazine during the early 1990s, as soon as you put your guitar signal into circuitry you have changed its tone.
This is still true now; no amount of digital wizardry, noise suppression, or kafuffle will change this fact.

In fact just by putting your guitar into an amp changes its tone, this is a good thing. No one wants an amp less electric, the jangle would put indie bands off indie. The only possible reason could be to either become the most jangle fest band in the world or to record the purest possible signal and put it through an amp and effects afterwards, trent reznor is known to do this.

Turning stomp boxes/pedals on and off.
There’s a lot of whohaa about true bypass, true bypass completely means your tone avoids any circuitry when the effect is off and therefore in theory if the effect has no power your pure signal will flow straight through since the circuitry doesn't need powering. Effectively you're putting the signal via another piece of cable.
The other method always puts your signal via the pedal circuitry in a passive mode, e.g. one where the pedal is not affecting your signal. the problem with this is since it is going through the circuitry it is effecting the signal, you can perhaps hear frequencies highs, mids, lows or a mix of all three going as well as the sound of the circuitry. Two examples of this latter point I can think of are; a ring modulator typically uses an oscillator to mix frequencies and some oscillator frequency could slip through leaving a hum, or the circuitry clock could slip through, e.g. a phaser/flanger/chorus mix two versions of your signal at a clock rate, if no signal is being clocked you can sometimes hear the rises and falls of the clock.

To combat going through the circuitry some effects use buffering and noise gates, buffering boasts the signal before it goes through the circuitry; noise gate cuts out the noise which you don't want (e.g. clock sound).
These can both be incorporated into true bypass pedals too, however would be part of the unbypassed circuitry.

There is sometimes another issue that can happen is the on/off switch POP! When turning effects on or off, this is a part of some switches that cannot be avoided. Leaving the effect on an using a loop switch as mentioned in the tips at the bottom would be the easiest way to get round this.

Let’s go back to the original principle "as soon as you put your guitar signal into circuitry you have changed its tone". A single pedal that changes your tone when off could in be fine, the effect is more of a cumulative one much like people eating too many steaks or McDonald Burgers from BSE infected beef. The more pedals you add into a chain the more you change the tone.
I have always found cheaper pedals are worst for adding to the sound, the worst culprits being cheap multi effects pedals. That said expensive kit doesn't mean it won't affect the tone.

In Section K we use a Zoom 1010, which isn’t the cheapest thing you could get but adds a load of other things to the original signal for example you can hear the flanger clock when not playing or noise when it is in tuner bypass mode, sometimes this is a good thing with noise though and it is capable of programming in some great effects.
By the way 1990s zoom multi effects are a nice tip for you noise makers on a tight budget :)

Regarding tone snobbery, often in a live gigging situation tone isn’t so important, being able to hear the instrument is paramount in these situations! I would say it’s more important in a studio situation, its good to sound nice but being too much of a tone freak is bad.

Three tips to retain as much tone when you're not using the effects:

1/ Put only the effects you're actually going to use in your rig, when run signal through something you’re not using?

2/ Try true bypass loop pedals, these let you put effects into various loops (e.g. Loop A, distortions, Loop C, modulations) and you get true bypass when you’re not using the effects.

3/ Try EQs and Noise Gates, e.g. if a pedal take out the highs have an EQ after to replace that frequency or if you can hear a flanger clock use the gate to remove the clock sound.

Caring about how you sound is good. Being an anal tone freak is a bad, you should be playing not fiddling with your tone. Hopefully these tips will stop the latter, now go and write some good tunes!