Introduction by Dr. Alan Feller 

For the private pilot certificate in the US there is one written exam and then later an oral exam as part of the practical exam (i.e. checkride). Other certificates have their own exams. E.g. there is a different written exam for Sport Pilot. You'd take that exam if you planned to pursue a Sport Pilot certificate. These other certifications are alternatives rather than prerequisites for the private pilot certificate. So you don't need to take other exams if you plan to pursue Private Pilot Certification. The same is true of the commercial certificate. It's important to prepare for the correct exam, because some of the questions are geared toward the certification you are pursuing. E.g. the sport pilot exam will include questions about restrictions for sport pilots, while the Private Pilot exam will ask questions about the limits of what a private pilot can do.

The material tested on is a mix of material you can understand or explain (basics of flight, why aircraft spin) and material that you simply need to memorize (radio procedures for a class C airspace, when a class 1 medical certificate expires for a 36 year old using it as a private pilot). Using a prep guide or a prep course helps you decide what you should memorize and what you might want to spend some time learning in depth. Even for the more conceptually grounded material, there's a lot of useless stuff that you are probably better off just memorizing (e.g. compass dip errors, altimetry errors for differences in local barometric pressure and temperature). On the other hand if you really enjoy understanding everything there is to know about flight then go for it. It won't hurt, except make sure you really understand it, or you'll need to memorize it anyways. (e.g. some people can't get their mind around altimetry errors caused by temperature differences, and if you can't keep it straight you'll just need to settle for high to low look out below and such).