Redco in CT made me a pair of Y cables, plus the custom ones for my pedal tray, etc.http://www.redco.com
I picked up a Monster Y cable from Guitar Center, it lives in my cord bag as a last resort. Cheap plastic molded thing.
Depends on your setup; before I went to a rack, I had a Pedal Pad pedal board, which has a routing box built in, so I used to plug the ends of the Y into the first and last pedal, and the guitar cable into the Pedal Pad. Then I ran a single cable from the Pedal Pad to the amp, so I was "tethered" to the Pedal Pad with no cords going behind me to my rig. Now I plug the Y into the GCX behind me as well as the straight guitar cord. I'm pretty comfortable with the hard wiring in the GCX for my needs.
The downside to these junction boxes if you're using a pedal board is it takes up space on there, and it's two more (short) patch cables that potentially can go out on you in a gig situation. It's a pick-your-poison deal. Jerry's effects loop is beautifully simple and works perfectly, but it is something of a wiring hassle. Eventually, you have to split everything off. And you still need a cable going back to the amp if your effects are in front of you.
Be nice to get it happening wirelessly, wouldn't it?