I would approach the certification process with the mindset that you want to improve your skills and prove to yourself that you do have a good grasp on it.
The certifications are good in my book for the following reasons:
While there will be certain things
you learn and/or memorize along the
way that you will never use again,
in my opinion you will have as much
to gain if not more from what you do
learn and use.
I believe it's a real testament to a
person who wants to better
themselves and while this is not the
only way it is a way and it shows
your passion / desire to improve.
It's alot easier to down them than
actually try to do it. :)
Certifications are not the only place where it's at. Keep the importance on the learning while pursuing the certificate than pointing out you are certified. There is a balance. Honestly, you should be proud to show what certificates you have but just don't flaunt it. Your knowledge will prove itself out over time.
As for the actual approach I would first bang out the core 70-536 exam even if you are not sure what or how deep you want to pursue certification. With the completion of this test you will become an MCP. Passing the core exam in my opinion states you have a very strong understanding of the framework and many will respect this test under your belt especially since it doesn't dive deeply into windows app development or web app development.
I say it this way because if you get your MCTS or MCPD with ASP.Net applications, someone who only does windows development or who hates web forms and loves MVC might see your certificate as not as valuable but everyone whether it's Web Forms or MVC or Windows Forms all use the framework and so having 70-536 under the belt is real nice. The same could be said for the MCTS for Windows and someone who is only doing web development.
I am conjecturing a little on this because in my opinion even though I do the majority of my work in web apps, if I was presented with someone who had their MCTS in Windows with great experience and a good interview they would beat out the one who didn't have the cert but had the same level of experience and equal interview. The same could not be said for me if I had someone with an MCTS in Web Apps but no experience and an OK interview vs. someone without any certificates but great experience. The certificate is often the icing on the cake or the extra to put someone over the top. They are rarely if ever the sole reason.
So with the core under your belt you are free to choose from a range of choices:
Here's a list.
To then get your WEB MCTS you would take 70-562.
To then get your WINDOWS MCTS you would take 70-505.
With this you would have taken 3 exams and have two certificates.
MCTS: .NET Framework 3.5, ASP.NET Applications
&
MCTS: .NET Framework 3.5, Windows Forms Applications
If you want to specialize then take the MCTS exam in the one desired and then pursue the MCPD exam for that specialty.
If you want to prove your skills as an "Enterprise" developer than you would follow both MCPD tracks for Web and Windows and then take two more exams. The WCF exam and then Designing & Developing Enterprise Apps.
You also mentioned DB design. You can get your MCTS in Database Development with one exam. 70-433.
If you just want to a little extra on your resume and/or want this as a nice personal goal then I would pursue the MCTS for Web or Windows or both. Both require the core exam (70-536). After doing that if you feel it's enough, great, you still have a little something to throw on the resume that might put you over the top. I would only pursue the MCPD's if you really want to set yourself as an "expert" by MS certificate standards on a particular technology.
Good Luck!