ORIGINAL: John
Should compression be the first FX or the last?
It depends what you're doing.
If it's a "guitar stack," then many guitarists prefer the compressor first, because they generally use it to increase their natural guitar tone's sustain, and they want that sustain to carry through all the rest of their effects. If, for example, the distortion pedal were placed before the compressor, you'd be trying to create sustain from a "dirty" signal.
But it sounds like the original poster's question was more general. He used guitar as one example, but he also mentioned "Guitar Rig" as a plugin - in that scenario, Guitar Rig would most likely handle guitar compression internally.
That said, there are situations where different plugin orders will be useful. Sometimes you'll want the EQ before the compressor, so that the EQ's shaping of the sound affects the way the compressor responds; and sometimes you'll want the compressor before the EQ, so that you're EQ'ing a signal whose dynamics have already been tamed.
However, there are a couple of types of plugins that will *usually* go either first or last, for good reason. Any kind of reverb will *usually* go *last* in the chain (or even on a bus as a send), because most of the time you will probably want the signal to sound otherwise "finished" before placing it in a virtual acoustic space. Sometimes, though, it may be useful to EQ *after* the reverb, or sometimes you may place the reverb early in the chain for a distinct effect. Also, any kind of modeling plugin like Guitar Rig will usually go *first* in the chain, because you want all of your other effects to be operating on the "real" (or real simulated) guitar track, the way it would have been recorded to tape back in the day.
Hope that makes sense. But above all, remember that your best bet, after you establish your "ground rules" for what plugin order you like to use, is to experiment and
listen to what different plugin orders do for your ears.