A certification made the difference in getting me my first SQL Server job. It was with the state, which values what they can justify on paper more than what a candidate is capable of. But without the cert, I wouldn't have been considered (based on conversations with my then boss).

The opinions expressed here are absolutely valid and truthful, but they are only the opinions of a slice of the industry. While the SQL Server community is vast, not every hiring manager or HR person is actually plugged into it. Those "not in the know" may not potentially understand the worth (or worthlessness) of a certification and may value it highly. Similar to what Amen said, if two candidates are equal in experience but one has the cert (or degree), it's more easily justified to hire the certified applicant.

I have a degree in Computer Science. I also have the MCTS certs in database administration for SQL Server 2005 and 2008 (very basic, one book/one test). I learned something new each time I studied for them, although I've never used the Service Broker or message queuing in my real life experience (just one example). I underlined "studied" because that what I did. Treat the preparation for the test as the opportunity to expand your knowledge and tailor your learning to your ability to retain what you learned.

If you decide to pursue a degree or a more specific technical certification, you'll obviously need to gauge the time spent vs the "ROI" (Amen and I have discussed this at length). A 2 or 4 year degree potentially would take more time than obtaining a certification.

You'll never stop learning, regardless if it's done "formally" or "informally".