So this is probably going to get me flamed, but software engineering, the way our industry does it, is largely not engineering. Therefore, I would not recommend the FE / PE exam in the same way I would not recommend taking the bar exam.
"But soft!", you say, "It's got engineering right in the title! What do you know about it anyway?"
I graduated with a degree in mechanical engineering from a top-10-in-the-nation engineering university - Purdue University, which is ranked 7th in mechanical coming into 2010. I passed the Fundamentals of Engineering exam quite soundly, thank you. My career has taken me through jobs that progressively led me towards software, including working for Toyota and Lockheed Martin. I've now done software in silicon valley for about 4 years and 2 startups, so I feel fairly qualified to comment, now that I have about balanced experience between my disciplines - counting real industry experience at about 2-to-1 to schoolwork.
Software engineering is not engineering because engineering is the act of taking scientific knowledge and designing something that takes advantage of that knowledge for a particular goal. It is entirely a "head in the cloud" pursuit. As an engineer in industry, I never built anything that I designed - there were much better engineering technicians for that job than I. It was my job to think about what should be built and oversee the built product as it went through its lifecycle - design, prototype, test, refinement, and production. The closest thing we have to that is a software architect who doesn't code. And yes, by this definition, architects (the one who build buildings) are engineers, though on the border between engineering and art. As further example, the way that engineers work is almost always the waterfall methodology, which has proven difficult for we software types to adopt.
We are craftsmen, like the carpenter who draws up plans, but doesn't do finite element analysis. He uses his experience and intimate knowledge of the tools to design and build something, but it is not done to the rigorous level of engineering. Most carpenters don't use CAD, for instance. Back of the envelope is fine, because it's not the level of design that counts, but the product that is built.
We software types almost never get into the design part of it to the same level of detail as engineers, and then we almost always build it ourselves. Essentially the PE certification says that you know enough to create designs that can be built, even if you're not doing the building. So, no, don't bother with working towards a PE - it's not relevant - and don't let yourself get pushed into thinking that we're lesser skilled because of it. I can honestly claim that, though the two disciplines are different, they are each as difficult as the other - perhaps software a little more so, because of the very dynamic nature that means you can never get comfortable with your knowledge. Think of it this way: we may not be true engineers, but the true engineers don't get the satisfaction of building their castles in the sky the way we do.