Effects loops are intimidating to many people, simply because they don't understand how it works and what the effects loop is for. At its simplest, the effects loop is used to insert signal processors after the preamp. Many effects, especially time-based and modulation, tend to sound much better when placed after the preamp and any distortion it is creating.
The effects loop's signal flow is better suited for rack mount type equipment that likes to see line level signals instead of the instrument level, Hi-Z signals that exist between guitar and amp. This does not mean that you can't run stomp boxes in an effects loop. If your loop has a line/instrument switch or a send level control, you're good to go. Even if it doesn't and you want to use a stomp box in a loop go for it! It may be that the signal levels in the loop won't be matched perfectly, but you won't hurt anything depending on what's in the loop you may hear more noise, but tone is a subjective thing, is it good enough? Remember, this is a guitar amp we're talking about, dirty can be good!
Series effects loops will run the effects in line, as if everything is in a single row. Guitar goes into the front end of the amp, through the preamp section, through the delays and modulations, through the power amp section and then out of the speaker.
A series loop disconnects the signal path of your amp between preamp and phase inverter and sends it to your effects from the loop's send. The signal from the effects in the loop is then connected back into the amp and fed to the inverter. That means that your entire signal goes out the back of the amp, is processed by whatever is in the loop and is then returned to the amp. After the preamp, a switch of some sort is present that either allows the signal to connect to the amp's phase inverter as normal or to the loop. Almost always this switching action is accomplished just by plugging into the loop. Either the signal goes to the power amp or it goes to the loop.
There are a couple of things to consider with this type of loop. Since your signal is being routed completely through the effects in the loop, care should be taken to ensure that the effects are as high-quality as possible. Another thing to consider is that if you are using digital effects in the loop your signal is being converted being turned from an analog signal to digital, and then back to analog. This analog to digital and digital to analog conversion process does affect your tone, leaving it pretty much up to the quality of the converters in the unit. Always listen and decide if there is an issue.
The loop signal is buffered, meaning that the signal going to the effects can handle long cable runs and not suffer degradation or high frequency loss. Return buffering basically does the reverse - it will boost the signal if necessary after a long cable run and isolates the loop signal from the rest of the amp so that the signals are matched and noise is as low as possible.
Many tube amps use solid state components for the send and return circuits. Transistors or op-amps are used to buffer the send and return signals. This is not necessarily a bad thing, but for those who are purists it is something to consider. Solid state circuitry used in this application will actually result in a loop more free of noise which is definitely a good thing. However, a tube loop is essentially another preamp stage and that means your signal gets further sculpting by the natural characteristics of another preamp, which can have great results.
Series loops are versatile in that any type of effect can be plugged in if it sounds good use it! Care must be taken in matching signal levels so that when you are using the loop the volume of the amp doesn't change. Remember that a series loop sends your entire signal to the effects so consider what negative effects that may have on your tone.
A parallel loop splits the guitar signal into two signals in the loop section so that you're mixing in the sound of the units in the loop with the pure unaffected tone from the amp itself. The loop allows you to blend or mix the effected signal with your amp's signal. That means that your amp's signal is sent through the effects loop and the loop's return signal is mixed with your amp's signal just before it goes into the phase inverter. A parallel loop is the same idea as an auxiliary send on a mixer.
Like the series loop, there are a couple of things to consider with a parallel loop. Effects like EQ, compressors, tremolo, noise reduction, etc. don't work well in this type of loop. They work properly when they are fed the entire front-end signal. You should also set the effects in the loop so that it produces a 100% wet' signal. This is usually labeled as a level control or output gain.
So how does a parallel loop work? The preamp signal is permanently routed straight to the phase inverter your amp always produces an unaffected tone (unless there is any effects between your guitar and amp). After the final preamp stage the signal is sent through the send buffer circuit and on to the effects in the loop. As with a series loop, this type of loop is typically switched on when you plug in.
A parallel loop ideally requires at least a return level control. Adjusting the return level subtly or dramatically adds the effected signal to your amp's tone. This provides many tonal options. You can use the output level control of your effect to blend or mix the amount of effected signal with the amp's straight signal. A return level control provides a great way to mix the effect in with the amp's straight signal.
Effects loops aren't so hard to understand, right?! All they basically do is allow you to insert effects between the preamp and power amp stages of your amplifier. As with all things tone, experiment and see what you like best. Many players like the sound of their stompboxes in front of the amp, so like to put some in front and some in the loop, etc. It's all about what gets you where you want to be.