Well GTG,
the course/program fees varies quite a bit, and believe me when I say that the range is quite expansive.
I used to teach for an institute myself, but didn't complete full Microsoft certification programs - an MCP and an MCT was enough to tag onto the portfolio since I was more interested on the Unix/Linux and Internet/Web Administration side of things... those certifications are the ones that I pursued in length.
In any case, my dad is an MCSE, MCT, and my bro is an MCP as well... so I have some experience to narrate.
The major difference in fees would be between institutes that are MS designated training centers... these would probably charge around $1500 to $2000 per course, i.e. upto $12,000 for the full MCSE program.
If you ask me, these programs are a waste of time and money!
This is in contrast to an institute that is not "authorized" per say, but employs people with the right certifications and experience to teach their students. Their courses are in the range of $500 per course or so, i.e. upto $3,000 for the full program. There's nothing wrong with these institutes, and sometimes you get more for your buck since you get more individualized attention here and the instructor does not have to read line by line from a Microsoft Manual (which they're required to do in a designated environment).
If I were to recommend training, I would much rather go with these type of training centers - the key here is to research the institute thoroughly... word of mouth is your best bet.
Finally of course, you have the option to purchase study guides, CBTs, and check online discussion forums for latest exam news and talk to people who've done their certs recently. This self-study method requires a lot of motivation, but for someone like me it works well because I get irritated in classroom environment where instructors can sometimes be very repetitive and talk about mundane stuff. I also like to get my hands wet with the technology, and this way, I can install software, play around etc. and figure things out myself.
Mind you, this would be more time consuming because I'm not availing the knowledge of someone who's already done what I'm trying to do for the first time.
self study works well for some (read: me :) ), but its time consuming, requires discipline and motivation, but is the most rewarding in the end too
I have about 14 certifications, out of which I attended courses for 3.
Lastly, with the MS authorized institutes, the exam fees for each course is typically included, but if you're going to another training center or studying yourself, you have to take that into consideration... its somewhere around $150 per exam.
Hope this helps... ask away if you have more questions.