
In response to "Which one is the easiest/cheapest to obtain?", I would say Linux+. I have it and obtained it with minimal study, but much hands-on experience. Is it too easy, no, I am just saying that if you are a regular power user, you should be able to peruse the objectives and take the test. A note of caution: Linux+ is not and end, it is a beginning. After obtaining it, I went to RHCT (Red Hat Certified Technician) then RHCE (both significantly more challenging, but not impossible with a lot of hands-on experience).
In response to "Which is the mostly highly regarded in the industry?", it depends on your industry. Red Hat and LPI are both highly "recognized" along with Novell's Certified Linux Professional and Certified Linux Engineer (http://www.novell.com/training/certinfo/#cert/).
To sum, it depends is lame, agreed, but when I began down this path, I earned Linux+, obtained an entry level Linux SA position, then went to training (paid for by employer) and now sit in a mid to senior level SA position.
I believe the path I took was worth it, but the important thing is to take the plunge, do somethinhg and then move around.
"Call immediately. Time is running out. We both need to do something monstrous before we die." -- Message from Ralph Steadman to Hunter Thompson