Browsing at http://education.oracle.com/pls/web_prod-plq-dad/db_pages.getpage?page_id=140#13 you can find detailed information about the currently offered Java certifications.
There are in total 13 certifications. Most of them require taking an exam only. Some of them require an assignment submission and/or an essay submission as well.
The first and the easiest one is Oracle Certified Associate, Java SE 5/SE 6, formerly known as Sun Certifies Java Associate. This is the easiest certification and I don’t recommend spending time on it. You can skip it and take the Oracle Certified Professional Java Programmer directly. It seems that the Sun Certified Java Associate exam was invented in order to assist fresh developers with doing their first steps. IMHO, it is a redundant one and I tend to believe that most developers choose to skip it. My recommendation is to start with the Oracle Certified Professional Java Programmer certification.
The Oracle Certified Master, Java SE 6 Developer focuses on topics related to desktop applications development. IMHO taking this certification should be with the lowest priority comparing with all other Java certifications. Most of the software applications development in Java is done in Java EE. This specific certification focuses on Java SE.
The Oracle Certified Professional, Java ME 1 Mobile Application Developer focuses on Java ME technologies. IMHO taking this certification should be with the lowest priority comparing with all other Java certifications. Most of today mobile native applications development is no longer in Java ME. The Android platform is the dominant one. The iPhone platform follows it. We are no longer in a Java ME world. Spending time on learning Java ME should be with the lowest priority. In other words, I don’t recommend spending time on learning Java ME (unless there is a very good reason for doing it).
The rest of the certifications focus on Java EE topics. I strongly recommend on taking them and I strongly recommend on striving for getting the higest certification of all, the Oracle Certified Master, Java EE 5 Enterprise Architect (formerly known as Sun Certified Java Architect).
If you are doing your first steps you can try my Java Tricky Questions book. It includes tricky questions that cover most topics the Oracle Certified Professional Java Programmer exam covers. It includes detailed answers for each question. In addition, it covers topics the programmer exam no longer covers. I wrote that book in 1999 in order to assist others to pass the Java Programmer exam in that time. When the list of topics the exam covers started to change I chose to change the name of the book (instead of updating it).
The learning towards each and every certification and passing the exam itself will place you in a different position by all means. You will get your recognition as a professional and your understanding of the various Java technologies will be in a different level. Good Luck!