I'd like to have a label with a blur effect and a drop shadow effect.
If you use the older BitmapEffect, then you can make use of the BitmapEffectGroup:
<Label Content="Hello">
<Label.BitmapEffect>
<BitmapEffectGroup>
<DropShadowBitmapEffect />
<BlurBitmapEffect />
</BitmapEffectGroup>
</Label.BitmapEffect>
</Label>
BitmapEffect, however is being depreciated, and UIElement.Effect is the preferred method to add effects. To combine multiple behaviors into a Effect of this type, you will have to create a custom effect that does what you desire. As shown here, which will require more then just editing the elements through blend.
Also, take a look here: WPF Pixel Shader Effect Library They have some exelent examples and pre-built effects as well as good tutorial on how to create your own.