A few hours ago I sat down to take the first part of the Salesforce Advanced Developer Certification, that part being a multiple choice test in a similar style to those used for the Certified Administrator and Certified Developer tests — and here are a few of my thoughts pertaining to it.
For me (being a day to day developer) this was the easiest of the three exams I've passed so far, that said, you need to be a developer with force.com experience — being a C++ guru is not going to help you here. If you've just completed the Certified Developer exam and have never written code, do not jump straight into this, you will fail, hard.
Make sure you understand the order of execution when records are being updated, i.e. when triggers fire in relation to workflows, assignment rules etc. and make sure you know what valid markup looks like for Visualforce pages, components and email templates.
There are many best practices associated with working on the force.com platform, ranging from deployment techniques to working in a development team, many of these are detailed in the developer guide and you'd be wise to learn about them regardless of the exam.
Email services are tested, as are web-services, including when and where they can be used.
Learn about the various Apex class annotations, you'll need to know what each of them does and what intricacies may relate to their usage.
Long story short: If you're an experience developer who's been working on the platform for a while and you have the Developer Certification under your belt, chances are you won't struggle here.
I'd still like feedback on what I got right and what I got wrong, though I have heard that you do get this upon completion of the full 501 course; in each of the exams I've sat so far there have been a couple of questions where I'd really like to know if I got them right. Next up is the assignment portion of the certification, and I can't wait to get stuck in!
For more help on getting your head around what's involved, Steven Herod has just posted a blog article (only ten minutes ago) which details exercises you can do to put into practice much of the knowledge you'll need for the 501.