Ok, THIS LESSON IS NOT FINISHED AND PERHAPS NEVER WILL BE AS YOU ALL ARE INVITED TO CONTRIBUTE ...
The lesson looks like this: On every page, I talk about a certain effect. I try to explain, what the effect does, provide some ideas of how to use the effect and give examples of recordings where you can hear the effect (if I can come up with one).
After introducing all the effects, I provide some information on whether to put them in front of your amp or to use your send/return and in what order you should put them.

Thanks to Wholenote-member Stone Dragon, you now find links throughout the lesson that let you hear those effects!!

This lesson will be updated continuously. I will add more effects, more ways to use them and more examples of recordings. I also invite everybody to mail me their ideas/ways to use a certain effect and their examples, as of course I'm limited by my musical knowledge and tase. I will then add this information to this lesson.

Here's sort of a table of content:
Page 1: You're reading it right now: What's an effect loop?
Page 2: Compressor
Page 3: Fuzz-Overdrive-Distortion
Page 4: Chorus
Page 5: Flanger
Page 6: Phaser
Page 7: Delay
Page 8: Reverb
Page 9: In what order do I put my effects?
Page 10: Equalizer
Page 11: Sound clips of a Tremolo and a Wah

Ok, let's start ...

What is an effect loop?

Most amps today have more sockets than "input". Chances are, your amp also has two labelled "send" and "return" - the effect loop.
The signal that "travels" through your amplifier normally takes the following way: Input - Preamp (generally responsible for sound and - if you want - overdrive) - Power amp (generally responsible for volume, although with tube power amps the sound is also shaped).
Some effects (see the following pages) work and sound better if they come after any distortion or gain that is applied to your guitar signal. Why? For example, it would not sound too good if you put the reverb before the overdrive. You want a reverb on your overdriven signal, not an overdriven reverb.
Basic rules:
1) If the effect modulates the signal (see following pages), put it behind any preamps or overdrive/distortion boxes.
2) It the effect boosts the signal, put it before overdrive.
3) There are no rules! Break them, experiment!
Normally, you put all your stomp boxes between your guitar and the input of the amp. But if you want to use your amp's overdrive channel, you get the problems described above. This is where the effect loop comes in. The guitar signal comes from your amp's preamp and through "send" goes into those effects that should be put behind any overdrive. The signal comes back into your amp through the "return" socket.
Therefore, you should have all the stomp boxes that should come before overdrive between your guitar and the amp's input and all the boxes that should come after overdrive after your amp's preamp in the effect loop. The following pages will give you information on which effects belong to which group.

Some amps have a series others a parallel effect loop.
With a series effect loop, the guitar signal (=your sound) comes from the preamp of your amp, "leaves" your amp through the send jack, runs through the inserted effect and comes back through the return jack. 100% of your signal goes through the effect.
Many people have found that their sound suffers (great tube amps and - perhaps cheaper - digital effects => maybe loss of sound).
The solution was the parallel loop: with the control, you control how much of your original signal leaves the amp and passes through the effect.
The "remaining" signal stays in your amp, preserving much of your sound, and is "joined" again by the signal coming back from the effect, now with effects on it.
So you can mix the dry (without effect) and the wet (with effects) signals, but keep in mind that you won't hear much of the effects if you only put a tiny part of your signal through the effect box.
The effects in the loop should be set so that they let out no original signal but 100% effect signal. You decide with the parallel effect knob how much effect you want.