All I can say is that I've got no idea. Everything I know I basically learned myself over the course of the last 15 years or so, and I'm considered one of the heavyweight senior types these days. (Which, to be honest, is boring as hell ... IMO).
The only advice I can give you is that you do something you actually like doing, or have some sort of interest in. If you like fucking around with statistics and large data sets, then you might want to go more towards the data warehousing and OLAP side. If you're more of a "lets build something shiny" type, head off for programming and web dev.
As cd34 said though, the courses and graduating will give you a nice piece of paper, but you'll have to work at it and get some real life experience under your belt before anyone (well, most anyone) will give you the light of day.
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What's blue and not heavy?
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