#1 An effects loop in an amp allows you to connect your guitar directly to the amp so that any outboard effects that you might use won't change the sound of your guitar. If an effects pedal doesn't use "true bypass switching", there will always be some impact on your sound, even when the pedal is off. If you place your pedals in the effects loop, your signal is split inside the amp and you can blend your (pure) guitar signal with the signal modified by the effects loop.
#2 I don't use a Marshall, but I believe Contour is a tone control for MID frequencies.
#3 In general, signals from a guitar are very small. A preamplifier is designed to take these small signals and increase the signal to a level that can be used by the power amplifier, which drives the speakers.
Some effects units (like the Boss GT3 and GT5) include preamplifiers. You can connect the GT preamp output directly to the amplifier effects loop input and bypass the preamplifier of the guitar amp. Some pedal effects also amplify the guitar signal. Most distortion pedals can amplify the signal to overdrive the preamp in the guitar amplifier.