Tim, people use FX loops for several reasons. First, you can plug your guitar straight into the amp for a pure tone. Unless a pedal uses "true bypass" switching, there will be some modification of the guitar sound. Second, you can mix your clean sound with your modified sound (on many FX loops) so that your sound is not controlled entirely by the pedals. I think that FX loops are also less susceptible to noise but I'd have to look at a schematic to make sure.
As an aside, true bypass switching usually uses a Double-Pole, Double-Throw (DPDT) switch to remove the effect from the circuit. These switches are fairly expensive ($10 - $15 in single quantities) and make design more difficult if there is an effect on-off LED. There are more exotic switches that make the design less difficult, but these switches are probably quite a bit more expensive.