I have taken the MCSD.NET courses and 1 of the 5 exams. I took the SQL Exam. I will be taking the Desiging Solutions Exam Next.
I think the classes are good if you want the cert. Knowing everything that MS thinks you should know for the exam is hard, and the MOC kits you get will outline what MS wants, plus you get good coursework and material.
Is the certification worth it? To me it is. To some employers it is as well. Microsoft obviously puts value in it.
Does having the cert mean that you know what you need to know to be a good programmer? No. That comes down to experience and actually being in the trenches and learning from your mistakes, nighmares, grey hairs, and sleepless nights. It will make you familar with all major topics related to .NET, so you can be informed, and this is good.
The MCSD / MCAD prep kit is a good kit to get, its by MSPRess. Good luck