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How to use Effects Loop?

run your bass directly into your amp. run the effects send of the amp to the input of your first pedal. run the output of your last pedal to the effects return and you're done.

effects loops are great but my amp has a built in compressor and i feel it compresses too much and diminishes the dynamics of my playing when i use attack sensitive effects such as synth or envelope filters. however if you only use chorus, octave or something of the like compression can give you a much smoother, cleaner sound through these effects.
 
Don't forget that lots of amps have an effects loop Blend control as well, so if you're not hearing enough effect, don't forget to turn this control up. Allows you to have some dry signal coming out with the effected signal.

That said, I generally run all my FX in front of the input. Then again they're all true bypass if I can help it. See which you like better.