I have a filter on a CCK field called "Region", I have exposed it with a drop down box
What I want to happen is to use this as an "Order By" functionality, so that if the user selects a region, it will order the output with the selected region showing first.
This is so that if there is no content in a given region, it will at least display content from the other regions.
You can't do this using the views interface. It's currently only possible to expose filters to users, not the sorting. So it's possible only to show nodes with a specific reason that the user choose, but not sort it.
You can create this functionality in a custom module using hook_views_query_alter. But it would require some php coding and would probably be a bit tricky to get right.