This is part of my recommended strategy to study for the Sun Certified Programmer for Java 2 Platform  (an exam that is ridiculously detailed about the Java language) that I posted on javaranch.com right after I passed mine back in 2001. It is a guideline that I would apply if studying for any other certification, I think it would work well.
Select two good books on the subject . First read the books, learn the material (by coding), and do the exercises or samples in the books. Have a notepad and take notes of the topics and you don't know in a way that you can study them (no short notes) from you notes. I recommend going through one book, then take some mock exam, then pick up the other book and focus on the areas where the first mock exam tells you are week at. At this point in the process, I had discarded my first notes and started a new notepad, this time with less topics that needed my attention. After you're done with the second book, start taking more mock exams. At this point you should have a very good idea of your week points. So get cue cards (3x5) and write what you don't know by topics with a full explanation, including examples, one for each topic. For example, for my Java exam I had: methods, inner classes, variables, one for each i/o class, one for each layout manager, etc. Go through these EVERY DAY at least once. If you think you'll end up with more cue cards then you're able to read in one day, it's a sign that you should still be focusing on studying the books and on coding instead of doing the cards or taking mock exams. Once you're working with the cue cards and doing mock exams, write on new cue cards those questions that you get wrong on the mock, even (and specially) if they are the ones you know that you know. You might end up with cards of repeated topics, but that is beautiful because you'll end up reading the topics you're having trouble with twice at least. When you start getting those right you can take them out of the stack. Save the best mock exams for the last days before the exam. Being able to immerse myself in the mock exams and the notes (not watching tv, not doing anything else) for the last 2 days before the real exam was crucial.
Also, try and participate in forum discussions. If there are questions you don't want to answer that's fine. If there are questions you can't answer, that's not a good sign. Searching for the answer and answering questions that you don't know are a good way of engraving that in your head.
 Someone at JavaRanch gave a really good tip on studying for layout managers and i/o: read the J2SE documentation. You need to know the classes hierarchy and the methods that they inherit and create. When you're studying this topic and the book presents you a class, have the documentation near and go through the entire class.
 I know being the cool geek that I am I'm not supposed to, but I'm a huge fan of books. It's happened more times than I care to keep track that I tried to learn something in depth online, spent a lot of time searching and wading through the good and the bad, and in the end ended up with holes in the whole picture. Good books take a pass on the entire subject, this way you at the least know all what there is to learn. You can always go online and further your understanding on any particular subject.