Some effects are designed for use with line level signals, and the effects loop is the best approach for these.
When used before the amp, the initial amp preamp circuits are dealing with both the basic guitar sound and the effects. When using the effects loop approach, the initial amp is only seeing the guitar. The sound that results is different.
It's also the case that some effects units add noise, and sometimes this can be less of a factor when used in the effects loop, where the levels are already higher and noise levels sometimes lower.
Where you have the options, and your effects unit can work with either guitar or line level signals, try both and pick the one that sounds best to you.
Ed