Before I started self-studying for CCNA & MCSE I had the same questions as to go for certs or not but the one thing that drived/drives me on is knowledge that you will gain through studying for such exams.
And like tuxfan said its very difficult to say which one but I would suggest take a field of your interest & work upon that.
One more thing though,MCSE,CCNA.... these are just the entry level certs,you could go higher like the CISSP[Certified Information Systems Security Professional] which requires experience & a sound knowledge of various aspects of security which I hope will have it in one day in my bag.
Just my 2 cents.
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The protection of a machine is a process & not a given -Duane Arnold.
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