Cakewalk has a brief description to the Console Emulator
here, with suggestions at the bottom.
A brief answer to your question (and is just my perspective) is this:
Big picture, you want to only be playing with the signal that you want to hear, so EQ first is often used to trim/adjust that signal first. Craig Anderton had a nice post a few weeks ago on low passing guitar amp sims ~5KHz because the "fake harmonics" above that getting into the rest of the signal path can sound terrible (i.e. they do not "belong" yet are getting amplified and processed).
Compression is often next, as you take this signal you want, and "level" it to taste so that effects apply "equally" (more or less) across its dB variation.
Saturation/Overdrive/Distortion is often next, since these create "clipping" and need a fairly high signal in to achieve this. If a signal is not compressed, only portions above a certain dB may see the distortion, while the rest doesn't. Likewise... if EQ was not used prior to this, you can potentially "overdrive" a part of the signal you did not want in the first place, so "getting rid of it" become 10 times harder (and you can attenuate the signal you want to keep doing this as well).
To me, both the console emulator and tape sim introduce "noise"... and adding a little for feel is fine, but if introduced before compression/saturation, you have now taken "noise" and "amplified" it twice. Of course, this depends a lot on how much you have introduced as well. To me, it is far more "controllable" at the end of the signal path to do so.
Please keep in mind this is simply my personal preference, and even based on the final sound you want, these can be varied, but if you google "effect chaining" or such, you can find a lot of sites that go into much deeper explanations for you.