I prefer my compressor before the overdrive. I don't need much dynamics when I use an overdriven sound, and overdrive already compress the signal, anyway. I find the sound of the overdrive more focused, under control, and it sustains for days (think about Gary Moore).
But sometimes I simply disengage my compressor before using an overdrive.
This. I like a consistent, light OD tone so just a hair of comp (MXR M87) before a OD is my preference.