I recently sat through the 70-445 and 70-446 exams for MCTS (SQL Server 2005 BI) and MCITP (BI Developer) respectively. I took them about a week-and-a-half from each other. Even though I passed them both on my first try which I am very please, I did plan on using the free second chance promotion vouchers from Microsoft just in case.
The MCTS Self-Paced Training Kit: Microsoft SQL Server 2005 book and its practice exams were very helpful with the 70-445 exam; I also think the book serves as a good reference in general. As you all know there is no training kit for the 70-446 exam. I believe my day-to-day experience working with the technology stack and DWBI as a whole helped a bit. I was also able to leverage my preparation with 445 for 446. In hindsight I believe I made the right decision by taking them close to each other.
The exams were about the level of difficulty I anticipated. In some ways I think 446 was a little easier than 445 - it emphasizes less on specifics and has more straight-forward question format. There were definitely quite a few questions on data mining in both exams. If I could go back and do one thing different though, I would only skim through the individual case study rather than spending the time really understanding it before embarking on the questions. The questions are applicable to only parts of the case study – read those parts when you need to. I did run out of time on a couple of case studies.
Personally I think industry certifications are great only if you have the working experience to go with them - before and after. The process of certification does promote well-rounded in-depth knowledge of the technology of interest. Real-life scenarios often take you to only those bits and pieces that are immediately relevant to solving the problems.