I run my wah out front. I'd use my delay in the loops but I get these really weird rumbbly strange underlying echo thingy's that sound just bad.....so I run that out fron too. But normally I run NO effects. I ride the guitars volume a lot though to compensate for losing a distorted delay sound in transition from channel 2 to 1.
Personal preference? I guess it too is subjective.
As a general rule, distortion/overdrive/wah type effects work better in front of the amp where time based effects, modulation, like delay, echo, reverb, chorus, etc work better in the effects loop.
By running pedals in the loop they come after your preamp so not to monkey with your tone . Distortion pedals and wahs as others said do not work well in the loop .