I like plugging straight into the amp. Somtimes a wah or a delay, but going straight into an awesome tube amp like an electradyne is money. But its all personal preference I understand.
Second that. Straight into the amp and delay in the loop controlled via a pedal.
Third. Straight into amp with delay in the loop... mmmmmmm
Boss gt10 using 4 cable method with my boogie, controls everything really well including Chanel switching the amp. Best thing about this arrangement is that the gt10 doesn't get in the way. I can put gain, comp, wah before the boogie and echo, rev after it with no fuss.
In my opinion, effects are the last thing you should worry. Unless you have an amp as nice as your guitar, save some money and buy a real good one.
Think about amps as translators. Let them show you your finger-print or... keep the glove.