I went through this same dilemma back in my band days when I was running a Marshall JCM 900 and a Rocktron Voodoo Valve Pre-amp/Effects unit. I think in the end you'll find most giging musicians will just run their amps at one setting, and all their effects in front of the amp. For a studio recording setup, you'd probably go with running delays/reverbs through the effects loop, and any overdrive/distortion/pre-amp effects through the guitar input on the amp. With a really nice amp, you might not use any preamp effects at all, and instead just get the tone from the amplifier as Neal suggests. But this would be impractical in a giging situation, UNLESS you were going to have just one or two tones, or only as many tone/amp setups as your amps channels would allow.

Really, your amp just becomes another stomp box in the chain. You can set it up for one sound that uses the ideal routing of effects, but now you're stuck with just that one sound. If you can select a different channel with a footswitch, or select a "boost" option for solos etc, then you have a bit more flexibility, but not much. In the end, you're still limited by the choice you make on how you setup your amps controls... what works for a nice clean rhythm sound obviously isn't going to work for that over-driven solo. I know that some of the famous guitar players out there would run different amps just for this purpose. They could switch from one head to another to get the sound they required for each song or solo etc.

So Izzy, I think your analysis is spot on. The problem you describe is exactly what led to more complicated stomp box arrangements, which in turn led to rack effect units, which in turn has led to the current "amp simulator" craze. Something like the AXE FX II is basically all the amps and effects that you could ever want all wrapped into one box, with the option to route the signal any way you want. Does it sound like a real tube amp? I don't know, I haven't tried one, but a lot of guys really like it and say it sounds like the real thing, so barring having a stack of amps you can switch between, that's probably as close as you're going to get.

One thing you guys haven't mentioned is the speakers though... the amp is only half the tonal equation. The speaker is a big part of the tone too... If possible, I would not record using the amps direct out, but instead mic the cabinet. I think the Shure SM57 & Beta 57a mics are pretty much the industry standard for miking up guitar cabinets.