I've been playing guitar for years, but just now started buying pedals. All I have is the Crybaby From Hell and the Vox Valvetronix Tone Lab. Which one goes first in the chain to my amp? Can I get an explanation why as well?

Sorry for the n00b questions though.
ALWAYS run your guitar thru your wah and into your amp. Otherwise your wah is going to sound bad or odd at the very least.
My current rig:
Schecter C-1 Elite EMG 81/85

Ovation CC48

Peavey 6505 Plus half stack

MXR KFK 10 band EQ
MXR Super Comp
MXR Smart Gate
Dunlop Crybaby from Hell
VS Jeckyll and Hyde OD
EHx Holy Grail
EHx Stereo Memory Man