Here is a nice article with a list of different Java certifications available (not just from Sun): http://java.dzone.com/articles/certifications-may-i-see-the-m
Right after finishing my Computer Science degree, I pursued my SCJP certification and although it was not a guarantee for a job, it definitely gave me an advantage over other candidates.
Whether if the certification made me a better programmer or not, I am not sure. However, I noticed that the certification gave me extra knowledge that my programming classes did not teach me and that my colleagues did not know.
After a few years programming, I realized that good programmers are made of experience, knowledge and creativity, not just certifications or good grades at school.