I spent the first few weeks with my Prophet 5 running it through nothing at all, and being perfectly satisfied. Its sound really needs nothing. But I've read these replies with interest.
I currently do not own a dedicated effects unit, so I started running my Prophet 5 through my Pro 3's effects, and that's a lot of fun. If you try this, make sure to set the input level down to about 30%, to avoid clipping with five notes. You may need to go lower if you have a Prophet 10, but I wouldn't know.
It was enough to get me thinking about getting a good external processor.
Aside from that, I have recorded a pad part with two passes, each one panned to one side. Both passes used the same Prophet 5 sound, but I switched from the Curtis filter to the Rossum filter on the second pass.