Depends on the effect. Tone shaping effects like Wahs and EQ/Compressors should work great in front of the tubes...as will any sort of Octave or Gain enhancing pedals like a tube screamer. Delays should work ok, but the delayed tones will probably not get as much "drive" as the original tone....chorus & flange effects will suffer the most, IMO, although on a relatively clean setting they should sound alright.
A buddy of mine puts all his effects in front of his Marshall, and stays fairly effect free when he goes all distorted for a lead (with the occasional wah-wah).....if he needs a delay or chorus with a distorted tone, he front ends them with a distortion pedal and leaves the Marshall clean.
There is no right or wrong answer here....its best to experiment and see what works for you.
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