Method 1 — Groups
Photoshop CS6 can have layer styles applied to groups. Groups can be nested. This is probably the best way to do it, because it's neat and everything scales nicely when you scale the document (for Retina etc).
Method 2 — Smart Objects
Once you've applied some layer styles to a shape, you can convert it to a Smart Object and then apply more layer styles. You can still edit the layer styles inside the Smart Object by double clicking it.
Not ideal, because Smart Objects generated in Photoshop bitmap scale, so this technique isn't good if you intend to make Retina versions of images. It's also quite difficult to edit, because you have to open the Smart Object to make changes.
Works in Photoshop CS5 though.
Method 3 — Shape Layers & Clipping Mask
You can also use shape layers and a clipping mask to do pretty much anything layer styles can do. Need a blurry inner shadow? Use Mask Feathering to blur your shape layers. Easy!
The only drawback is if you need to clip the result to another vector layer.
Method 4 etc
There's other ways to do this that don't require rasterising... let me know if the methods above don't suit.