Effects Order

This is a perennial question on all guitar oriented forums - what order do I put my effects in? While there are some simple guidelines, there is no "right" way to do it. It's all a matter of taste and your personal tone. Let your ears be the final arbiter.

The order of effects that produce the sounds most people have become accustomed to hearing is this:

There is a rationale for the placement of each effect in this order; it goes like this:

Amplitude altering effects
As simple as your guitar's volume knob, or as complicated as fancy compressors, attack-delay or other note-shaping device. The idea here is that the basic "shape" of the note that will interact with the later distortion devices gets set for the best tone at that level. Because distortions are level sensitive, the higher the level that comes out of an amplitude device, the more it will be distorted in any following distortion devices, and vice versa. A distortion following a level changing device converts the level-altering device into a distortion-intensity modulator - and that reverts to level changes if you switch the distortion out. 
Pre-distortion EQ
Once again, as simple as your guitar's tone control (which is really a simple treble-cut filter) or as complicated as a parametric EQ; pre-distortion EQ sets up which frequencies are loudest - and the louder the frequency, the more that a following distortion will affect it. As I mentioned before, distortions are level sensitive devices - anything under the level at which distortion starts will be largely unaffected. Anything over the threshold will be distorted. So by boosting things we want distorted and NOT boosting things we don't want distorted, we can select the things that get distorted and have a much more animated sounding distortion.
One of the most recognizable uses of this was Jimi Hendrix' use of a wah pedal (which is really a sweepable resonant filter - see the Technology of the Wah Pedal at GEO) before a Fuzz Face. A wah boosts one band of frequencies a lot, and if the levels are set right, the frequencies in the boosted range will be distorted most.
Distortion(s)
The Ronco Veg-a-Matic of the sound world, distortions take whatever signal is coming in and slice it into analog coleslaw. In doing this, they add harmonics and intermodulation products that were not present in the original signal. This usually results in a hotter high end, as it adds more signal bits at higher frequencies that were originally present. 
Post Distortion EQ and tone controls
Once the distortion has had its way with the signal and inserted a hash of harmonics into it, post distortion EQ can step in and select which bits out of this sonic stew get heard. 
As in many things musical, this started out unnoticed, just the nature of the beast. A 10" or 12" speaker in a cabinet has a frequency rolloff that starts between 4kHz and 6kHz, and is quite steep. This puts a serious cut on any real high frequency content from guitar. In fact, many "speaker simulators" are just multipole lowpass filters with turnover frequencies in the 4K to 6K range, and do a creditable job.
Having noticed the post-distortion tone effect, we can mess with it deliberately, of course. Distortion devices make for lots of high frequency harmonics. We can cut, boost, trim, notch, and otherwise shape what the distortion device turns out.
Notice that Pre-Distortion EQ changes what gets distorted in the first place. Post distortion EQ can only cut and trim on what has already been created in the distortion device. You should try it both ways - or both ways at once!. Notice that Post distortion wah sounds very different from pre-distortion wah. Try it! 
Anything else that does frequency shaping goes in here as well - remember the interaction of level boost-cuts with distortion.
Small time delays and Phasers
These add a spacious sound by causing multiple notches in the signal at specific frequencies. The ear is fooled into thinking it's in an acoustic space that has odd cancellations and echoes.
Longer time delays - chorus
Reverb and echo.

Some combinations and the rationales behind them:

Compressor before distortion
Gives a "smoother" distortion sound because the signal level the distortion gets has less variation - the compressor wipes off more of the signal changes, so the distortion works mostly at one level, and the tone quality of the distortion changes less as the note decays. The disadvantage is that the hiss of the compressor is further amplified by the distortion, so this setup is noisier than either by itself.
Distortion before compressor
The compressor adds little but hiss, because the distortion already sets up a fairly fixed output level. The tone quality changes as the distortion would without the compressor.
Distortion before time delay
The subtleties of the time delay, chorus, flange, etc. are generated after the distortion's harmonic hash, so the nuances of the delay can be heard.
Time delay before distortion
The distortion's harmonic generation tends to fill in the response notches the time delay created, usually less acceptable.

In the end, only your ears can determine what your sound needs to be. Experiment! Find *your* sound. In the end, the only right way is your way.