You really have to decide first whether you want to be on the applications development side of things, or the administration side. If you want to be a developer, then really concentrate on different programming languages, tools, databases, softwareengineering, all kinds of development platforms, etc. An MCSE won't do you any good if you want to be a developer. I would concentrate on the MCSD and perhaps certifications from database vendors, relating to applications.. Or specific applications such as SAP/R3 or JD Edwards. The advantage to being on the Applications side is that the skills are more portable, and people are always in a hurt for good applications people. But this has to be something you want to do and it has to fit your temperment. It's obviously not for me, but for others, it is a great thing. (I'm an administrator)
If you want to be an administrator, then learn everything you can about various operating systems (Microsoft-MCSE, Windows NT/2000/95/98,etc; OpenVMS, Unix, etc. Networking, Databases, Storage, Security) A good administrator has good knowledge of multiple areas here. Don't be thinking you can get your MCSE or your CCNA and now you have the ticket. That's a good start, but you need to know alot of things very well. Well you may have your MCSE, but how well do you know how to set up a firewall or a storage cabinet or troubleshoot a database issue. Expect to be chained to a pager.