Which is preferable: "We are all..." or "We all are..."?
Both are grammatical, but the first is more usual. We are all is much more frequent than we all are in both the Corpus of Contemporary American English and in the British National Corpus. There are, however, some contexts where we all are would be used. The answer to the question Who is responsible? might be We all are, and not We are all.
That apart, as a non-native speaker, you would be wise to stick to We are all when something else follows.
All is a quantifier that allows the rule of Quantifier Float, which moves a quantifier from its normal position near its focus constituent to an adverbial position.
- All the men left. == Q-Float => The men all left.
All the men have been seen. == Q-Float => The men have all been seen.
Each of the men left. == Q-Float => The men each left.
- Each man has left. == Q-Float => The men have each left.
In the original sentence Q-Float can move all to either of two places:
- All of us are mad. (original, with all quantifying us)
- We all are mad.
- We are all mad.
All of these are grammatical, and mean the same thing.
These all are grammatical and mean the same thing.
These are all grammatical and mean the same thing.
This is a case in which it can be useful to talk about denotation and connotation.
Each of these ways of saying it is grammatically correct, and has the same fundamental content. The denotation, or in other words, the specific, explicit meaning is the same. The denotation can also be thought of as the factual content of the statement.
On the other hand, the connotation of each tends to be somewhat different. Connotation refers to the implied, suggested, or secondary meanings which are, in a sense, "hidden" below the surface of the words. In English, merely adjusting word order can significantly change the connotation of a sentence without changing its factual, denotative meaning. To put this more simply, yes, it can sound different to say it with a different word order, and thereby suggest or imply something different from what the other word order implies. But no, that does not mean that one sounds worse or wrong. They simply have different uses.
Now, in this case, just exactly what is implied by the two different word orders is something I won't go into at length, but I will say that in my opinion the first usually does have a more concrete, definitive, factual quality about it, whereas the second can be, and sometimes is, used for more eloquent, or sometimes even poetic, locutions.