Hey man its not lame i dont think you are the first person to be wondering this lol.  The dry out on the PRO sends an unprocessed signal to a mixing board or whatever you want to send it to.  In other words regardless of what settings you have in your patch anything coming out of the dry out will sound clean.  No effects no amp moddeling which is very handy when recording if you want to do any kind of reamping.  As far as connecting to the amp if the amp has an effects loop i would try the four cable method you can find a video here http://line6.com/support/docs/DOC-2112 i believe the only thing you would have to change is instead of using the effects out which the PRO doesnt have you would use the L unbalanced output with the selector switch set to amp?  In my head this should work fine but i have a DT50 so i havent had to play with this. I can experiment with this and get back to you later unless there is someone else on the forum that is currently using the Pro this way?  In any case you can never go wrong playing with different setups thats half the fun! 

Wowza has you covered on the 'Dry out'

On connecting the HD Pro to your tube amp FX Loop:  your shouldn't need to worry about damage here.  This is a totally standard setup and many, many people do it (including me).  That is what the 'Combo Power' and 'Stack Power' output modes on the POD are designed for.

4CM is great too but it is an advanced setup and If I were you I would start by doing what you are trying to do:   i.e. connect:

     Guitar -->  Pod Input -->  Pod 1/4" Left Output -->  Amp FX Loop Return.

Note:

-  The amp loop must be switched on (with a pedal or whatever, check the manual).

-  Some amps need a 'dummy' patch cable plugged into the FX Send before they will activate the FX Return.  The other end of the cable dangles free.

-  Start with the 'Master' knob on the Pod set low.   Some amps have their own 'Master' volume configured before the amp loop so the volume may be fixed to full on.

Normally you would not expect to need anything plugged into the amp input but hey, if your manual tells you that you do then go with it,