What sort of certifications are there for Java?
Sun Java Technology Certification
View this link for detail
http://www.sun.com/training/certificati … /index.xml

Who conducts the examinaitions?
Sun Certified Training Centers

What is the best why to study for them?
Couldn't get you.

Does anyone have one?
I don't have it but my friend does have one.

Has it changed your life if you do get one?
Yes it does change ur life once you are Sun Certified. You can get big projects as well as be highly paid.

Please visit http://java.sun.com for more details.

Thanks
Sachin