ive done a couple of the exams, and ive used a variety of training materials,
when i first started, i signed up to a training centre i paid some and the school paid some, but it ended up being here's the microsoft book work your way through it call us if your stuck, they had a few machines available to mess around with but wasn't that impressed with the place.
the first place to check is the microsoft website, find the exam you want to do and it'll have a list of all the topics that are covered in that exam.
ive used the microsoft books and sybex books, there both good, but the thing you'll find is that certain topics will get more coverage in one book and less in an other, (either get work to buy books from different publishers, or find someone that you can swap books with)
i also blagged school into buying the training cd's from a company called learnkey, which are good but a bit pricey.
the best ones ive seen are buy a company called Trainsignal.
you can get the whole set on a load of cd's or a external HD.
but they cover every thing in lots of detail. the videos are organised in a bit of a weird way ie instead of video 1 - exam 70-290, its more of a video 1 = dhcp, video 2 - file servers,
head over to http://www.petri.co.il
theres some good reviews of the trainsignal stuff and also loads of useful mcse info. especially in the forums,