I just picked up a Pod xt yesterday(the red table-top version), for the primary purpose of using the unit with headphones. My amp is a Fender Champion 600, but it does not have a headphone jack, hence my reason for getting the Pod. I like using the amp models with the headphones, but for the effects, I would rather use my own (such as Hardwire OD pedal, wah pedal, danelectrico chorus...).

Would I run a cable from the guitar into the daisy chain of effects, then a cable from the chain of effects to the input of the Pod?,
Would I run the cable from the guitar into the input of the Pod, and then a cable from the output of the pod to the daisy chain, and then the other cord from the chain into the amp. If I did this, I would leave the amp off, and just use the headphone jack for sound.

I hope this all makes sense, and thanks for any info..

Also-What is a decent set of headphones to use? I have tried a nice pair of ear bud phones that I have, but I suppose a full over the ear style would be more appropriate, and sound better for something like this..
MIM Strat Standard
Epiphone Les Paul Ultra
Fender Champion 600 amp
Seagull Coastline S6 GT
I would imagine you would just put the effects in front of the pod. Basically treat the pod as an amp
Guitar > effects > Pod
My Gear
Ibanez SR520EX with EMG 81/85 and boost
Peavey Valveking Head w/ Crate Blue Voodoo Cab
Peavey VB-2
Spector Euro 4
Boss NS-2
Boss TU-2