For a guitar or bass, yes--the order of effects has a lot to do with what comes out. In a DAW, I've never noticed a difference.
It makes a huge difference in a DAW too.
Try to think of your FX bus as like a physical patch bay - what each effect "sees" is what comes into it from the effexct before it. So, to use a really obvious example, if you have a limiter and a reverb on a track, if you run the limiter first and the reverb second, then the reverb "sees" a track with hard-limited peaks, and puts reverb to that... but if you do the reverse, you take your un-limited track, apply reverb... and then limit
that, smashing both the peaks and the reverb decay. A heavy reverb on a signal then fed into a limiter is going to give you a more obvious, heavily limited reverb as well. Similarly, if you take a track, add a compressor to it, and set up the thrreshold so that it hits at a point to just knock your peaks back but let most of the body of the sustain through and you dig what you're hearing, and then add an EQ
before that compressor set for a moderate boost to a certain frequency band... There's a pretty good chance that the compressor is now going to be seeing a different signal with different peaks and sustain than it was before, and unless you're watching what the EQ is doing to the compressor, you could be applying a lot more compression than you meant to, and as you turn up that boost you're changing not just the tone of the signal, but also the way it's compressing. Or the reverse, your compressor is dialed in for some transparent compression, you add a high pass filter before the compressor, and maybe that's enough to knock your peaks down enough that suddenly the compressor isn't doing a thing.
There aren't any hard or fast rules here, sometimes you WANT to EQ before compression for precisely that reason, and sometimes you want to EQ after compression because you want to change the tone of a signal after first doing some dynamic processing... but in both cases, you should know why you're sequencing the plugins in a certain order, or I guess at an absolute minimum knowing that they ARE impacting anything downstream and at least be aware of what those changes are doing.