Probably the most common spot is in the recess between the rear sump of the oil pan and the front of the bell housing, assuming a particular pan has that space. It's very limited, but usually enough for a pipe.
Next is the trans and t-case, but I don't see anything wrong with doing it after either. I did it that way once. The only downside is that a lot of grease gets flung down on the pipe from the u-joints.
If you have non-greasable joints though, it's probably not as big a deal.
I think keeping the heat away from the boxes and engine oil is not a bad thing. But I don't think it's been proven to be a huge problem either. Given the choice though, I think routing it away from those items is a good idea.
Paul