While everyone's right about experimenting, I personally put my MXR Super Comp at the beginning of the effects chain. At the beginning of the chain, I use it for mild compression to bring out clearer highs.
However, if you count the SansAmp as compression (tubes - even tube sims - do compress), then I also use it at the end of my chain from time to time for some interesting effects on everything else in my chain - distortion in particular.
Compression at the end of your chain may dull some aspects of effects, especially modulation effects such as chorus. It can also, however, enhance others. For example, it can make some effects punchier, but decrease their ambience/spaciness. Probably not the best description... but that's just one possibility with compression. It all depends on your compression settings.
Personally, I like to leave modulation, delay, etc. after compression to maintain their ambience. Compression after distortion works well to define the signal, depending on how you use it. Compression also tends to butcher my wah if placed after it...
Again, these are purely IME. Your results may be different than mine, as I've only got a single-band compressor pedal.