Put the time based effects (delay's, chorus, etc...) and near the end of the line through the effects loop. Also EQ pedals seem to work better through the loop. Put distortion boxes, wah's, flangers in line between the guitar and amp. It really is personal preference since different placements will get different sounds, but this system above has worked for me, at least until I got my Pod Pro.
Check out my band:
Havoc Din
Havoc Din