It really depends on who you want to work for and the type of positions you want to try to fill. I'm in your same boat in finishing my BSCS then getting the certs. I've knocked a few of them down thanks to my employer.
If you are looking to fill more of a management security role, I'd go the Associate of ISC2 CISSP track (take the regular CISSP test) as this upgrades when you get the experience. I know a lot of employers who look highly upon this because you pass the regular CISSP test.
The microsoft certs are good if you want to work in a microsoft environment.
If you want to go more network centric, you might look at Cisco CCNP/CCIE security.
If you want to go incident response, go for the SANS certs (GCIA, GCIH). If its for the US government get CEH as this meets a lot of DoD 8570 requirements.
If you want to go the technical route, look at the Offensive Security certs (OSCP, OSCE)