I am old enough to remember the good old days. Guys like EVH and Jimmy Page and my best friend used delay into distortion because that was the only option. You got your distortion from your Marshall amp, and you plugged your Echoplex tape echo between your guitar and your amp because amps didn't have an effects loop. It sounded great. On the other hand, the distortion was not nearly as distorted as many modern distortion tones, and the analog tape Echoplex was a forgiving unit that had its own special mojo. So Pete Thorn is sort of onto something. On the other hand, it's worth trying it both ways and seeing what you like. My preference these days is not to bother with an effects loop, to run a pretty darn clean tube amp, and get all my dirt from pedals that are earlier in the signal chain than any modulation effects-- chorus, delay, phase, trem, univibe, reverb, etc. I used to do the 4-cable method (modulations through the effects loop) when I liked using my amp distortion, but I can't be bothered with that anymore. I can get such killer dirt tones using pedals into a clean tube amp, with more choices for dirt tone shaping than I would get from a simple 2-channel amp. Some guys use fancy 3 and 4 channel amps, but I prefer simpler amps.