For example if I wanted Drop Shadow to appear ontop of Bevel & Emboss?
I tried draging them in the dialogue box but no joy.
Duplicate a copy of your layer. Have each layer have only one of the 2 effects. You can set fill to 0% for the top layer if needed.
Unless you have an invisible object above your layer that also casts shadows... the drop shadow should not be above bevel & emboss.
No, there is no way to change the order, because they are already in the order that they need to render correctly.