It's been a long time since I have looked at certifications. The last tests I took were for my VB6 based MCSD and SQL 2000. Recently, a customer asked me for advice about getting the MCPD certification. Since it's been a while, I surfed around a bit and found the following links that might be helpful:
I've been told by one of my teammates, specifically for the MCPD: Web Developer certification, that MCPD Self-Paced Training Kit (Exams 70-536, 70-528, 70-547): Microsoft .NET Framework Web Developer Core Requirements is pretty good.
Talk to 10 different people, and you'll probably get 10 different opinions regarding the value of certifications for developers. Certainly it's true that having a certification won't magically make you a good developer.
That said, back in the day, I used certification as a way to get my foot in the door when I made the transition from my first career in technical theatre (set construction, lighting, etc.) into the development world. When viewed as a tool for demonstrating at least a basic knowledge of a given subject, certification can be very useful, IMO. The important part is not making more of certifications than is justified.