Your GPS receiver uses the signals from multiple satellites to get it's positional fix. Because, it uses multiple satellites it needs to know its relationship to each satellite individually before it can calculate the combined relationship and derive its own location. Additionally, if you are only receiving a small number of satellites their geometry can be important in how accurate your location results are (see signal timing link).
Edit to address comments below:
It is likely that the GPS is recording your position and calculating azimuth, elevation, and other attributes before it actually collects the point. This is why it's generally standard procedure to stay in one place for a specified length of time before starting to take readings. So, it already does know it's location, it just hasn't been asked to record it yet. Time To First Fix (TTFF) is the measurement of this time. This is reflected in the order in which it reports the data in the NMEA sentences.
As for the difference between GPS and VOR; VOR stations have a known earthbound location and transmit a signal that varies phase according to the angle from the station at which it is being transmitted. This means that the receiver knows the location of the station and its relative angle. As far as I can tell there is no distance information discernible from the transmission and position is only known as some unknown point on a line (the line created by the receiver and base station on the angle noted by the base station). GPS uses signal timing to determine the distance from a satellite and uses triangulation to get an exact location envelope (receiver is exactly xyz +- error).