Simply put, the FX loop in an amp allows you to place effects in the signal chain AFTER the pre-amp, but obviously still before the power-amp.
Take my rig for example:
Guitar --> wah, boost, tuner --> Amp ......so all of those effects act on the signal being sent TO the amp, before the amp has a chance to process it.
Then I have an FX loop containing chorus and delay. The 'FX send' signal sends out the post-pre-amp signal into the first of these pedals (the chorus), so by that stage the amp has added any overdrive and EQ that you've setup on it. The the 'FX return' signal goes from the last of these pedals (the delay) back into the return of the FX loop, where it is then passed to the power amp.
The reasoning for doing this is that some effects simply sound better when placed after a pre-amp, such as delay, chorus, and most other modulation effects.
Think of it this way: if you put the delay between your guitar and you amp (where my wah is, for example), then you're sending a delayed signal into the amp's preamp, and this can get very muddy. Your preamp is then acting on a very over-loaded signal. By placing the delay in the FX loop, the signal you're sending to it has already been shaped by your amp's preamp, so you're delaying your real tone, as opposed to delaying a tone that will then be processed by the amp.
I hope some of that makes sense :-)
There are no hard and fast rules, but generally put any time-based effects in the FX loop, as it allows you to keep your 'real' signal clearer.
Good luck experimenting.
Jordan.
