Modulation effects will tend to get muddy if they go thru the pre, so in most cases you'd want them in the loop.
A delay or verb before the preamp will have an unnatural decay; the overdriven preamp will boost the volume and thin the tone where the desired effect is usually a gradual fade-out.
I prefer the wah before the loop, because it makes it more subtle (just like the built-in EQ controls have less effect when the drive is turned up). Obviously it's a matter of taste.
Another consideration (depending on your amp) is series, vs parallel. Your loop may be parallel, but unless you've made an extra effort, pedals before the pre will be in series. A compressor in series will have a much different effect than in parallel; usually people want a comp in series (yes, I know there are exceptions); a verb is often nice in parallel. In short, if you want the original sound plus something (like verb), parallel is better; if you want the original sound to change (like EQing to get a Brian May effect), series is better.
YMMV