The loop is where you would usually put all your time-based effects: reverb, delay, echo. All the overdrive/distortion pedals, wah pedals, etc.. usually go in front of the amp. There are no rules though, experiment to see what sounds best. To put things in the loop you would do the following:
guitar --> amp input --> effects send -->
delay pedal (for example) --> effects return --> your ears
So there are 3 cables, one between the guitar and the amp input, one going out of the effects send jack into the pedal, and one going from the pedal to effects return.
What the effects loop actually does is allow to put effects between the preamp and the poweramp. So by putting a delay pedal in the effects loop you would be taking a signal already shaped by the preamp, adding delay, and then amplifying it with the power amp. If you put it in front of the amp, you are adding delay to the signal from your pickups, and then shaping and amplifying the
delayed signal.
If you have a standalone preamp (something like a POD, or a rack preamp, say
Marshall JMP), you can use it instead of the amps preamp, and use only the power amp. You would do the following:
guitar --> standalone preamp --> effects return --> your ears
