⌘ E will merge selected layers in your layers palette. When working with shape layers, you can merge them into one layer and still retain all the vector information for editing later. AWESOME!
Simply select the layers you want to merge in your pallete, press ⌘ E, done. If you’re working with Bitmap layers I would mostly recommend against it as you will lose a lot of editing potential but with Shape layers it’s “The nuts!”
This was introduced with CS6 and is totally Rad. Previously it would flatten them into a Bitmap layer.
That is all.