The same phenomenon is somewhat less true for more advanced certs like the MCSE or the CCNP, though neither of them is probably enough to let you waltz right into the job of your choosing and demand a big raise to boot. The real issue is knowing how to position yourself as a good prospective technical hire, which means knowing how to talk convincingly and informatively about what you know, what you can do, what kinds of problems you can solve and so forth. Experience has value primarily because it lets you talk about things you've already done, problems you've solved and how you've applied what you know to your working life.
I'd recommend going after either the MCSE or the CCNP, as your interests lead you. On the MS front, however, you'll also want to look into the new Microsoft certs -- they'll be taking over the MS cert world in 2007 or so, when Vista Server ships and the new generation of MCP exams gets fully fleshed out for the Microsoft Certified Technology Specialist (MCTS) and Microsoft Certified IT Professional (MCITP) programs.
Best of luck in your certification and career planning.