I felt it would be remiss if someone didn't mention impedance.
Although the answer to your question is generally "yes" (even though a lot of time you wouldn't want to *grin*) the only time that I could think of not wanting to is when you have a pedal that expects a high impedance signal and gets a low impedance signal, or vice versa.
This is very rare, and most people aren't going to run into a problem, but it is there. Guitar pickups put out a high impedance signal - this is bad, as high impedance signals are more prone to noise and loss of treble over long stretches of cable. Many guitarists will put a buffer in or near the guitar to conver this high impedance signal to a low impedance signal, so that it will avoid these problems. Many pedals will do this as well - Boss is one example of a pedal that buffers the signal, even when it's not "on".
Okay, so this is actually a pretty good thing - just be aware that a very few pedals (mostly vintage) expect a high impedance signal (a normal, unbuffered one) and kinda freak out and don't function as normal when they get a low impedance one.
Me, I just avoid using the two or three pedals that do this. I have a buffer circuit installed onboard on all of my guitars, which means I can run long stretches of cable without any loss of tone - and I have a lot more treble and brightness, too, making for a louder sound.
Saul
swarovski crystals