I don't think there is a "rule of thumb" concerning this at all!
If a guitar player has a specific chorus, flanger, phaser, tremelo, etc....I see no reason to not track it that way.
Things like reverb and/or delay, well, I usually wouldn't track with it on, unless it was intregal to the performace itself. Such as, if I was tracking a "surf" style guitar player, the reverb is part of his sound, and it should be tracked that way. Sometimes, a delay is just part of the part (if you know what I mean).
Compression. Hmmmmmmmmm...depends if it helps record just the right sound. I am tracking a guy right now who has little dynamic control of his vocals. Luckily, his voice is way too bright for the music, and the music calls for a sort of thickish, meaty, almost distorted voice. I am compressing the hell out of some of his parts via a Drawmer 1960 mic pre/compressor. It is actually helping his tone quite a bit. I will sometimes track clean guitar parts with compression too. I don't mind also a tad bit of limiting on drum overhead, snare, and kick while tracking if it is doing something cool to the sound.
EQ. I will not hesitate to apply eq while tracking if it helps get just the right sound to tape!
No rules of thumbs at all. If it helps get the right sound to tape, and you don't feel what you are applying while tracking will make you regret later putting it on there, then by all means, go for it! But if you DO think you might regret the effect later, better to play it safe while tracking. Only your experience and vision of the recording will guide you to the right choice.
Ed