Moon,
     I've had similar problems with styles and merging also.  i have found that if you make a blank layer below the layer with the style effect and merge those two it for the most part helps preventing your effects from combining or changing when you merge them all into a single layer.  You'll have to make a blank layer for each layer that has an effect and merge them so that it becomes a regular layer then merge all the regular layers into one.  It doesn't work 100% percent of the times but it should resolve most of the problems with the effect layers.  Hope this helps.