There are two ways you can set up an effects line with a "master bypass" (that adds and removes a series completely from the signal chain). One is to use a "dedicated" bypass that, in one unit, provides a send and return for the series of pedals and an input/output for this sub-loop of effects. The other is to use a simple A-B switch with a Y-coupler on the other end (available from Radio Shack for $5). This might save you some money on cables and the more expensive switching box, but could also be noisier.
It is true that effects boxes that are true bypass, by themselves, do have some disadvantages. By linking several true bypass effects together, the net result is a chain of boxes that each add a small amount of resistance to the signal chain when turned off (even if the jacks measure zero resistance, simply having a physical connection that isn't a solder joint introduces some impedance). A long chain of true-bypass effects will noticeably reduce signal gain because of this. Effects that are not true bypass minimize this issue; each effect outputs a signal at the same level as was received, so gain is not lost, however this alters tone just like any gain boost would.
However, the true bypass described here has those problems only minimally; only one box (and the y-coupler if present) is between the instrument and the amp when the box is set to bypass the effects chain. When the loop is punched out, you lose neither gain nor tone (as long as the switching pedal has minimal resistance and is true bypass), while when the loop is in the effects generally have a gain stage anyway, even non-gain effects like modulation.
The disadvantage is convenience; to turn on even one effect, you must turn on the effects loop, requiring at least two stomps where before it took only one. This is mitigated by the fact that you can turn on the effects in advance, then simply step on the bypass box when you want those effects. This can in fact be a blessing in disguise; if you wanted to turn on a large number of effects at once, you could turn on all the effects gradually, and then punch in the loop and instantly get 6 effects.
