As far as what route would give you the best experience from a tech training point of view, I can't really say. I look at it this way: If you have a strong hold on .NET 1.x, then go for MCAD. If you know Windows and web along with another product (i.e. SQL Server, BizTalk, MSF), then go for MCSD. If you don't have a strong background in .NET 1.x, I'd simply stick with the .NET 2.0 route.
Based on what's required for MCA/SD, let me cover that in my chart, as well...
Start with nothing, take 3 tests, get Windows or Web MCPD
...or, take 5 tests, get both Windows and Web MCPDs
...or, take 7 tests, get Enterprise MCPD
Start with MCAD (3 tests), take 1 test, get Windows or Web MCPD
...or, take 2 tests, get both Windows and Web MCPDs
...or, take 4 tests, get Enterprise MCPD
Start with MCSD (5 tests), take 2 tests, get Enterprise MCPD
What does this mean? Well, starting from nothing, here are your routes...
Start with nothing; take 3, 5, or 7 tests; get each MCPD (see above)
...or; take 4, 5, or 9 tests; get MCAD and each MCPD (see above)
...or; take 7 tests; get MCSD and Enterprise MCPD
As you can see, if you don't have anything and you go the MCAD route, you're actually signing up for more work. If you get the full MCSD first, then you'll be doing the same amount of work with one caveat: Your two upgrade exams will be all-encompasing, whereas each individual exam will be more specialized. If you've ever prepared for an exam, you can see the problem with this.
Hope this helps! I think I might pull together a chart that shows it a little more visually. I'll keep you updated, if I do.