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Wah generally doesn't sound very good in the loop, but won't cause trouble. Most other effects can go in either place, although they will sound different depending on how much overdrive you're using on the amp.
Some pedals don't like the higher signal level in a typical amp FX loop either and will either add unwanted extra distortion, reduce the available volume level, or do other undesirable things - it's not always obvious which ones will be affected either.
"Take these three items, some WD-40, a vise grip, and a roll of duct tape. Any man worth his salt can fix almost any problem with this stuff alone." - Walt Kowalski
"Only two things are infinite - the universe, and human stupidity. And I'm not sure about the universe." - Albert Einstein
@Danny1969 a nice concise answer that makes the point very well
Oh and delay before dirt can be lots of fun.
It all ball' down to how do you get the sound in your head.
With mild amp overdrive it's easier and works well - the classic example of delay into light amp distortion is The Edge's sound.
"Take these three items, some WD-40, a vise grip, and a roll of duct tape. Any man worth his salt can fix almost any problem with this stuff alone." - Walt Kowalski
"Only two things are infinite - the universe, and human stupidity. And I'm not sure about the universe." - Albert Einstein
For my use I did experiment at one point but for the extra faff and minimal difference in sound it didn’t seem worth it.
Additionally, sometimes I put a delay in the loop and other modulation in front - subtle differences can help further tailor your desired sound. For instance, some reverb can add additional grunt and EQ to a Drive tone when in front with it - even if the amp has its own onboard Reverb.
"Take these three items, some WD-40, a vise grip, and a roll of duct tape. Any man worth his salt can fix almost any problem with this stuff alone." - Walt Kowalski
"Only two things are infinite - the universe, and human stupidity. And I'm not sure about the universe." - Albert Einstein
The delay before a slightly dirty sound is so good though, as @ICBM mentioned it's the Edges early sound
I find that for many effects the difference between going in front of the preamp or the effects loop isn't minimal. The differences are much greater the dirtier you set your amp, so if you're primarily a clean player it doesn't matter so much.
Generally, I think most people will experiment at some point, decide on one or the other and leave it alone after that.
If you really need to have both options, it's much cheaper to buy or build an effect order switcher than it is to buy two of every pedal.
Don't talk politics and don't throw stones. Your royal highnesses.
@2:40 The solo . This is an example of what tends to happen if the delay is put before a fair bit of amp dirt
Both are great sounds it depends what your shooting for