Well I finished 70-298 yesterday marking the end of my MCSE. It's been 5 and 1/2 months and almost £1000 to get me this far, but I think it's been worth it (and probably a lot better than anything else I'd be likely to do with a spare £1000).
I self studied throughout the MCSE, using a combination of the Exam Cram books, Technet articles, home lab & general work experience from the last 3 years of running my own business.
70-290 was my favourite exam, it's straightforward with very few trick questions and there is a ton of material for it.
70-291 & 70-293 (they are essentially a continuation of each other)taught me the most, while I had basic experience of all the topics contained within there were bits I'd never been in the position to try out in the real world.
70-299 was by far the hardest exam I'd had to do, however that may have been something to do with having taking it before having done 70-293, which provides a much more gentle introduction to PKI. 70-299 had a lot of indepth scenarios with some quite intricate configurations to follow.
70-294 was the only one I had to re-take coming as it did 2 days after hearing of the death of my Granddad (not a good time to try and exam, very hard to concentrate). An interesting exam though none the less, more based around reading comprehension than knowledge of the subject area. Definatly one to take easy and to really concentrate hard on what you're reading. Especially as I suspect some of the topics contained within are likely to be things that most people will only expereience once in a career (company networking merges etc).
Anyway I'm really pleased to have the MCSE under my belt, I'll be moving on to the MCITP:EA in the next couple of days. Might have some time off first... but I doubt it