Mark does a fine job of detailing the setup. Referring to the trigger, most signal generators have a trigger output. This is the same signal as the output that is taken before the level control. I connect it to the external trigger input on the scope and set the scope's trigger switch to external. I prefer this arrangement. It works for me.
Scope probes are a PITA for connecting to amplifiers. Instead I use BNC-banana jack adaptors on the scope. I connect the amp to a load bank with 12 guage speaker cables fitted with stacking daul banana jacks (Pomona MDP's) on each end. I use short jumpers with stacking dual banana jacks from the load bank to the scope.
Ground loops between signal generators, a scope, and an amplifier can destroy an amplifier including the P/L's. It's essential that the amplifier input and output are not both grounded to the scope via the ground on the generator. Since I use the external trigger from the signal generator which grounds the scope to the generator, I lift the ground lead between the speaker cables and the scope input. The dual banana jacks on the speaker cables make this easy. I also lift the ground wire on power cord for the scope.
Mark also refers to 10:1 probes. Since I don't use scope probes I have a switchable 1x/10x voltage divider between the load bank and the scope. When I built this, about 30 years ago, it seemed like a no brainer to use 10k and 100k resistors for the voltage divider. Wrong. A 10:1 divider needs to use some multiple of 9K and 1K.
Ed mentioned the article that suggests that analog scopes are better than digital scopes. Until I came across that article I thought I was the only person on the planet that felt that way. The R&D lab at my day job uses the popular Rigol DS1054 which is a really nice 4 channel, 50mhz, digital storage scope. It can be cracked to make it 100mhz. It only costs $350. I bought one and sent it back for a replacement because the trace was awful compared to the 30 year old Hitachi I use. The trace was so fat it left out details that are important such as oscillations riding on waveforms. The second Rigol scope was the same. I ended up keeping it because it's nice to have a digital storage function, but the Hitachi beats the pants off of it for quality of trace.
I used the Rigol last week at work to track down a cold solder joint on an inverter at work. The inverter would run anywhere from a few minutes to several hours and then suddenly take out a 300 amp fuse. I had all 4 channels set up and was able to track down the cracked joint after 4 fuses. FWIW, blowing 300A high speed fuses is far less dramatic then 10A fuses on an amplifier.
When using a scope probe that is 10:1 or 100:1 it is essential to calibrate the probe if looking at square waves. All scopes have a square wave signal source, usually on the front, that the probe is connected to. The probe will have an adjustment to make sure the leading and trailing edges of the square wave are not rounded off.
The attached images show the scope setup for triggering and the cable connections I use.