Typically for guitar you setup your preamp as the front end of your amplifier.
Imagine you're breaking apart your
amp head into 2 componants, preamp and power amp. Place the preamp at the front of your signal chain and then power amp at the rear into the speakers.
Between them is the effects loop, this is where you place the majority of your effects after the tone shaping circuits but before your output to the power section. There are a few exceptions to the rules of course, such as placing things like wahs or flangers etc in front of the preamp to change the effect they have on the sound. Typically you will get a throatier sound from a flanger at the front of the chain.
http://www.Guitargeek.com has some GREAT examples of rig setups of the pros.
This may help you out considerably.
Good luck,
Bammbamm