I recently started studying for the Zend Certified Engineer Certification just for fun, it's not that expensive and it can't hurt to have it.
What i've learned so far, is that wether the certification is great or not, the studying process introduces you to a broad selection of subjects.
As a web developer I tend to get stuck doing the same things over and over (same type of webpages where you re-use old code) and I don't get the time to delve into other areas because I don't know where to start and what would be good for me, since I don't know what i'm looking for in the first place.
Already I feel I know more about various coding techniques and where to use them. I could always pick up a book or 10, but I find these studying guides to be less specific and instead introduce you to as much as possible so you know what to study more later and if/how you can use it in your development.
I'm planning on taking the MySQL developer certification afterwards to cover any holes in my database design since I only work with MySQL at this point. Plus I am pretty sure it will be easy getting certification on other databases once you've gotten one down, since they all build on the SQL-92 standard.
One thing is for sure, it makes you more confident in your own skills, and confidence is good when you get to that interview. Plus i'd imagine in some cases, especially government jobs, you'd get extra payed for certifications, at least that is usually how it works in Norway where they use a type of ladder system for salaries.