In my opinion I think that ejb certification is easier than the webservices, thus you could use the knowlegde of ejb as an ejb can be exposed as web service. Then again, this is just my opinion, there isn´t any pre-defined next step.
I agree with Deriko. Ejb certification is easier. Of course it depends on your geographic area, but I think the Web Services certification is more marketable, not just because is it more difficult, but also because more people are starting to use Web Services and Web Services-related skills are appearing as required and preferred in an increasing number of job postings. I am going for the Web Services cert, then maybe the EJB cert later.
SCJP - 1.4
SCJD - (B&S) Used 1.5 And It Runs On Solaris10
SCWCD - Thanks to HFSJ!!