The FX loops is usually for time based effects: Delay, chorus, flange etc. Effects that don't alter the EQ.
The FX loop comes after the pre amp, so anything that does affect the EQ: distortion, filters, compressors etc. should go before hand so that the amp's EQ can be changed to get your unique sound.
Putting the time based effects in the FX loop can help keep your sound clean is you have a long signal chain as they are not affected by the EQ of the amp.