I've heard mixed things about the Zend PHP Certification exam. While it is something to have, all it proves is that you memorized the PHP manual. I've looked into taking it, but I got a perfectly fine job without it 😉 Not to mention that I studied PHP and MySQL without the exams and got a perfectly fine job.
Exams are not a measure of what one person can do; rather just a measure of how much knowledge one has on a topic. The best way you can prove you know what you're doing is to actually do something with your knowledge. Create a portfolio, do some skills tests at interviews. That's the best way to prove you know what you're doing, not flashing a piece of paper.
Just my thoughts.