I'm not all that up on schools, but can you tell me primary/middle/high and I'll give some direction. Loughborough still has separate middle schools (11+) and High schools (GCSE years) although they are currently moving away from that.
We live in Loughborough itself, 10 minutes walk from the town centre which suits us very well. Loughborough is slightly overshaddowed (from the shopping point of view) by Nottingham, Derby and Leicester (all 30 mins away by train) which means it has stayed a market town and not too anonymous. It has a twice weekly street market, weekly "flea" (bric-a-brac) market and monthly farmers market.
The most popular area for family housing is the "forest side" of town which is between Epinal Way and the motorway, the schools there have a decent reputation. Assuming you are looking for at least 4 bedrooms, you won't find many options close to town, esp on the Railway station (east) side as it's mainly terraces with up to 3 beds. Some parts of town are dominated by student lets.
Further out there are a number of villages: Quorn and Woodhouse are considered expensive and posh, Mountsorrel varies - it has a council housing estate which I recomend you avoid and I'm not entirely sure how that affects the rest of the residents. Woodhouse Eaves, East Leake, Wymeswold seem reasonable places to live but I have no idea about the schools there. Slightly further north is West Bridgeford, a popular commuter area because it's within easy reach of Nottingham and Derby.
I hear differing opinions about Shepshed and Coalville. Coalville and the villages around do have pockets of deprivation - it used to be full of pits and there is now little employment there. Shepshed is a small town; I get the impression it's mainly housing with few shops and facilities. Could be wrong but the people I know who live there are back-and-forth to Loughborough lots.