FX loops… most amps have ‘em so let’s talk about ‘em.
We’ve got 2 types of effects loops in amps- series and parallel:
A series loop routes your signal from the preamp out the “send” jack through your pedals and back in the “return” jack, and then to the power amp portion of your amp. If you have nothing in the loop, then the signal continues on its way from pre to power amp. If you use your amps distortion, this configuration allows you a little more control of your over-all signal flow and effects ordering. Time based effects, such as reverb and delay, generally sound best after your distortion, making this FX loop configuration ideal.
Parallel FX loops split your guitar into 2 signals after the pre amp. 1 signal is routed to your loops “send” and the other flows on to the power amp where it meets with the “return” of your loop. This method allows for more creativity with the tonal pallet ability based on your ability to blend the 2 signals (generally via a knob on the front of your amp.) This style of FX loop is much more conducive to experimentation as dialing in the ‘right’ amount of effect is an art unto itself.
I’ve said it in interviews and blog rants a million times… there is no wrong and right way to do anything with pedals. There are popular ways, but no rules regulating what you have to do in order to get the signal to flow through- if you like the way it sounds, run with it.