I don't have an amp with an FX loop, so I just run my amp clean with all the pedals in front.

As the other posters have said convention wisdom is to run the dirt/volume/compression FX ahead of the preamp and the time delay FX in the loop (post preamp). This sounds the best to me in my experience but like everything else if it sounds good to you then it is good. Too many people get hung up on things like the "correct" order of FX.

The FX loop is good to use for time based FX (flange, chorus, delay, phaser, etc.) in amps that have preamp distortion. Note that some amps sound the best cranked up (mostly power amp distortion) so putting an effect in the loop of one of these amps doesn't do much as the effect tends to get washed out as the loop FX are placed before the power section. Some players have been know to get around this (EVH) by using their entire amp as a distortion pedal and feeding a padded down line out from the output section into their effects and then into a squeaky clean power amp to boost signal back up to loud SPL levels.