Lots of great advice in this thread for all different methods and styles of music..

I record amps live with a band most of the time, my feeling is if you're tracking live without a click then use your effects through the amp, especially time-based modulation effects like tremolo and phasers or even delays etc, if the drummer is playing in time with your effects time settings the band will sound much more glued together than adding them in a DAW, I also like to have all the overdrive and distortion coming from the amp and not added later. I do prefer to play with no Reverb on the amp and use one Reverb bus in the DAW with one kind of Reverb so everything sounds like it happened in the same space. I think the mic being used is important too, after years of Shure SM57's I've come to prefer the sound of Sennheiser e609's. It often sounds good with amps with more than one speaker to mic one speaker in the center of the cone and mic the other with an off-axis mic turned to run parallel to the cone. Then you have 2 slightly different guitar tracks coming from one amp that you can pan and effect differently.
Now if you're recording to a click track or to programmed drums then there are many more options, it may be nice to simply get the tone and drive from the amp and do all the effects with plugins perfectly synced to the click in the DAW. It also may sound nice to use an amp for some tracks and line in with plugins (like Guitarix) on other tracks.
There is no right or wrong really, only what suits the song and sounds good to you..