Right now, I am in the tough decision of what combination of training methods I should choose in order to be a MCTS and then MCPD certified ASP.NET 3.5 developer.  Listed below are the possible methods and their pros and cons:

Books: They are cheap and can be taken anywhere for learning.  Bad thing is that you do not have much direction besides reading straight through and cannot ask for help on the book (some come with forum discussion areas, but feedback is not guaranteed to be fast, easily understood, or correct).

Online Training: Cost is higher, but these series of courses (to prepare for a certain exam) are scheduled to take a really long time.  While you do get some feedback and can ask questions, if time is a factor in your decision, probably one of the worst ways to train.

Classes: If you complete the prerequisties, classes are the fastest way to learn.  Instructors that are certified know exactly what you are needing to work on for the exams, give great pointers, and will answer any questions you may have.  Downside is that they are the most expensive way to learn and if you are starting, the prerequisties probably have their own classes (which leads to even more money having to be spent).

Vocational, Community College: While these classes may give you a better understanding and allow for quick feedback, they are basically in the same basket as online courses, except you can’t choose what time of the day to work on the class like you can with online classes.

Online Videos/Tutorials: These can come from places such as Microsoft.com, or be hosted on third party non-affiliated websites to show you how to start application development from scratch.  These should be mixed in with any variety of training methods you choose due to their short time, and (most of the time) free of charge while providing useful information for our knowledge enhancing.

So needless to say, I am going to approach these exams in a structured manner.  I am going to first get the books and read/practice code/syntax and get a solid grasp of the language and structure before I move on to the next method.  Throughout the training process, I am going to mix in tutorials and online videos to see how a professional instructor or programmer organizes and writes their application.  I believe after this, I will take a class and learn within the time (2 days to a week normally) before I take the exam.  Another helpful thing: practice exams.  Take these to make sure you are ready to take the actual exam, because nothing is a bigger waste of money than going into an exam and not knowing where your skill level resides.  If anyone has any suggestions or other combinations, please let me know.