This is a great question and one most guitarists ask themselves. Why do we ask ourselves instead of someone who knows? I'll start with there is no etched in granite answer. Ultimately it comes down to what sounds the best to you. Simply put, there is no right or wrong way. A gray area so to speak that nobody talks about.
That being said, lets put together a basic strategy that is sold and popular and easy to do.

The effect loop in your amp is an other place to route the signal. It offers another way of adding external effects gear and components such as a stomp box/s into the signal trail.
Putting effects onto the effects loop sounds different than if you plug it into the front, or input of the amp. In other words, the front of the amp or input is the same plug your guitar plugs into. Plugging an effect into the front of your amp tends to mask or color the sound because going through the front or input of your amplifier allows the signal to be processed by the gain and equalizer. This is perhaps the most preferred method because the effect is introduced and passes through the EQ and gain circuits.

The effects loop on your amp eliminates the effects gear from Gain or EQ influence. A better statement might be that the sound is pure and untainted when it goes through the effects loop. That is a desirable quality for certain types of effects.
Most people run effects such as delay units and other effects similar to delay like a chorus pedal through the effects loop.

A favorite vibe can be created by putting the other effects such as my Wah, Compressor, Maxon Overdrive, Sustainer, Soul Vibe and the rest of my effects in the front or input of my amps. There are no cemented rules on what order to put them in. Have some fun and experiment on the order of effects coming out of the amp and going to the guitar. You can examine and listen to most effects gear online at one of these guitar stores.
Note:You will need a pedal board. Ther are plenty of excellent pedal board options.
Do you have another strategy? This strategy works great for most of the guitar players, what works for you?
One last thought, use a really good quality cable to connect any effects you choose for your system. The smallest items can make the biggest difference. A good habit to get into is making sure you buy quality components by well know manufacturers.