The exams have been updated to reflect the new features.
For example: MS Exam 70-562 TS: Microsoft .NET Framework 3.5, ASP.NET Application Development
This exam requires the .NET 2.0 Foundation exam (as .NET 3.0 and 3.5 build on top of the .NET 2.0 framework), and counts towards Microsoft Certified Professional Developer (MCPD): ASP.NET Developer 3.5 & Microsoft Certified Professional Developer (MCPD): Enterprise Applications Developer 3.5
That said, the main reason I took the exam was to help my employer maintain the Partner status that requires that we have a certain number of MCP's in the company.
Edit to add my response to the comment:
It's a tricky one - I only really moved off .NET 1.1 professionally about a year, 14 months ago (personally I'd been playing with it for some time). There are still people here who've not looked at LINQ or EF, let alone ASP.NET Dynamic Data, ADO Data Services, etc. Personally, I'm glad I did learn about them, as they've made my job easier, but I could have done it without - or with other tools.
As to exams, the 3.5 ones only started coming out in August last year, nearly a year after the release of the framework itself, so the 4.0 ones won't be out for a while I shouldn't imagine.
Basically, I've had "taking an exam" as an objective for some time, but I've never really had much inclination to study for them - so I wanted to take an exam that I could pass with my current experience and skill set - I was originally going to take the 2.0 ones, because I didn't know there were 3.5 ones - thankfully as I was booking it, I saw the 3.5 one was out, and I thought it would last the longest - as it's most recent, it's (hopefully) going to be one of the last of the current crop to be retired.
As to whether I'm going to take the 4.0 exams, I guess it depends on how long it takes me to get around to upgrading to an MCPD (if I do - I guess that will be in my next objectives) - if the 4.0 ones are out by then, and there's an easy upgrade path from what I've got, then I might take them, yes, but I'm certainly not "chasing certs".
Finally,
Having been involved in recruitment of developers for some time, I totally agree with the other answers - the certifications don't always guarentee as much quality as they should - I've interviewed MCP's that didn't really know what they were talking about once you got into their understanding of the depths of the frameworks.