Here's a GREAT discussion of series vs. parallel effects loops and what you need to know from Mike Soldano (Soldano Custom Amplification).
Up until just recently, almost all guitar amplifier effects loops were series effects loops. A series loop interrupts the signal path between the preamp and the power amp and inserts the effect processor signal into that path. This means the entire signal from the preamp travels through the processor and re-enters the power stage. It’s basically a one-lane road going from one place to another.
Parallel effects loops have just recently begun to surface. A parallel loop offers two paths from the preamp to the power amp. One path is a direct connection from the preamp to the power amp as if the amp had no loop at all. The other path sends the preamp signal to the effect processor (via the loop) and then routes it back to the power amp, mixing it with the direct (dry) signal. Most amps that offer a parallel effects loop have a variable mix knob, so that you can control how much of the effect you want mixed in with the dry signal.
How do you choose one over the other? In a series loop, many modern, high quality effects processors can be used effectively without any problems because the sound quality will not be degraded when traveling through the processor. Additionally, there is a mix control that allows the user to adjust the dry and wet signal within the processor itself. A series loop works fine in this case. Even though the entire signal is being routed through the effects unit, the tone is still coming out of it uncompromised.
The parallel loop is useful when using vintage effects and other effects that don’t have any kind of mix function and that sometimes suffer from bad signal-to-noise-ratios, which can lead to tone degradation. Lately it seems that there has been a return to vintage effects and stomp boxes, which has probably caused more of an interest in the parallel loop.
I think that a parallel effect loop is a good thing and the ability to be able to adjust the mix is nice. However, they don’t work well if you are using effects that change the volume of the signal (such as tremolo, compression, or noise gates), or when mixing the wet and dry signals causes an out of phase situation. Technically, if you turn the mix to 100% in a parallel effect loop, it should operate exactly like a series loop, although this is not the case with all amplifiers on the market.
In my opinion, if you don’t need a parallel loop, don’t bother. It’s generally a lot more circuitry, and can end up costing more money. However, if you do use older effects or stomp boxes, I highly recommend a parallel loop for its flexibility.