There are some guitarists who place the compressor last, though, to boost their signal just before it hits the preamp of their amplifier. The drawback to this approach is that any hum or hiss introduced by other effects will be increased by the compressor's output gain. Sometimes you can remedy this by placing a noise gate before the compressor, however, the noise reduction can have an effect on the tone quality. A best-of-both-worlds approach might be to put your compressor first and use a signal booster just before your amplifier. Some guitarists also like the sound of putting their wah or envelope filter before the compressor to give it a wider frequency range to affect. Experimentation is always encouraged, but putting the compressor first is recommended.
Steve Vai talks about the optimal signal chain spot for your compressor (as well as all your other stomps).