Start out with the Network+ and Server+ certifications. These will give you a basic idea of what you need to move on to more challenging certifications. All of the CompTIA certifications are generic certs meaning they aren't tied to a specific manufacturer or software provider. Once you have that down, move onto the MCSA or MCSE certifications since they offer a lot more to learn. Not to mention, many people hiring IT pros look for the MCSE certification in the applicants resume. This is to be expected since many companies are full of M$ boxes.
If you want to go into networking and infrastructure type work which is what I did, start by getting the Network+ and Server+ certs. After them I took the CNE (Certified Novell Engineer) cert, then got my MCSE cert. I then went to the Cisco certs CCNA (Cisco Certified Network Associate), CCNP (Cisco Certified Network Professional) and I finally have my CCIE (Cisco Certified Internetworking Expert). I have to get re-certified every two years with the CCIE cert. It is by far the hardest certification to get not to mention less than 3% of Cisco professionals have their CCIE. But I have no life and no family of my own so it’s a lot easier when you dedicate time to studying for these things.