A good thing to do is monitor VU levels going in and out of every effect in a chain.
 
Using effects is creative so there is no real correct way of connecting effects.
 
Having said that for mastering it is different I feel. The EQ should come before the compressor. Once the sound is nicely balanced EQ wise before the signal hits the compressor the compressor will be happier usually and will often sound better as a result.
 
eg suppose yoyur mix has way too much bass then the (single band) compressor will always be over reacting to the bass end. EQ it and get it sounding normal again and then the whole spectrum of the signal will be hitting the compressor much more evenly. Nicer sound from the compressor.