In an amp with a serial FX loop, the "FX send" is the same as the "pre amp out", and the "FX return" is the same as the "power amp in".
In an amp with a parallel loop, however, there IS a difference. You can recognize if an amp has a parallel FX loop by checking if it has an "FX loop level" knob. If the amp only has an FX loop on/off switch, it's a serial FX loop.
The difference between the two is this:
With a serial loop, you go straight from the FX send into whatever effects you're using, and back in the FX return. This means that you have to adjust your effects levels or "mix" on the effects processors themselves.
With a parallel loop, the signal coming from the pre amp gets split into two signals. One signal goes straight to the power amp section, and the other signal goes to the FX send. The signal from the FX return then gets "mixed" back in with the signal coming directly from the pre amp, and here is where the "FX loop level" comes into play. By adjusting the FX loop level, you adjust the level of signal coming from the FX loop you want to add to your pure pre amp signal. This means that you will want to max the level/mix on all your effects processors in your FX loop, and control the overall level of them with the FX loop level knob.

Now, there's no real advantage or disadvantage to putting your effects in the FX loop or not. There are no rules when it comes to getting a good sound. BUT, the general guideline is that its best to put your signal processing units in this order: Signal processing => Effects processing => Power amplification.

Signal processing consists of pre amplification(pre amps, dist. pedals,...), compression, noise gates, EQ, exciters,...
Effects processing consists of pitch shifting, time based effects such as delays, reverbs, chorus, phaser,...

This means that you'll probably want to put at least your effects processors in the FX loop. Not to say that effects in front of the pre amp cannot sound good. But I'm willing to bet, at least when using disortion, that putting the effects processors after the pre amp will result in a much better sound than the other way around.


Long post, I hope that makes some sense...