Well the simple answer is whatever works for you, so experiment.
However the following info might be useful:
Cry Babys are notorious for "sucking tone" even when off as they are neither true bypass nor buffered. The newer ones may have solved this, however it is easy to check. With the Cry Bay off compare the sound of the guitar straight into the amp and through the Cry Baby. Certainly with older Cry Babys you will experience a dramatic loss of treble. This problem can be avoided by either placing a buffered pedal 1st in the signal chain, or by modifying the Crybaby to be true bypass.
Generally delay and flange would be put after the distortion stages. The absolute best way to do this (although impractical) is to mic your amp and add it from outboard effects units to another amp/PA. However as a substitute many people put these effects into an effects loop which is usually between the pre-amp and power amp.
Effects loops are can be series (most common) or parallel. In a series "loops" (actually not really loops but inserts) all the signal is routed via the effect. This means that any effect have the possibility of degrading your signal. Also, the voltage output of most valve guitar pre-amps is often 10s of volts — way too much for a pedal designed to accept a guitar level signal, and even too much for "line level". To get round this problem many manufacturers have send and return level adjustments before and after the loop. Even so the signal can still be too hot for some pedals. I have had a couple of people get in touch will me using DD3s in an effects loop and getting horrible distortion, essentially because the signal from that particular amp was way too hot.
Parallel loops with variable send and return levels, if implemented correctly, are better (although more expensive). In a parallel loop the signal is split, one signal sent to the effect unit and this is mixed with the other dry signal. You should always run effects unit at 100% wet so that the return from the effects units contains no dry signal. This is to avoid an potential phase cancellations with the dry (unless of course you like that sound).
