Get a degree, preferably something with a connection to the aviation industry, I have one in Mech Eng, and it definately helped me loads during the ATPL exams I cant understand why pentworth reckons that his Masters in Aeronautics wasnt helpful!!!
If I hadnt studied the likes of turbines, bernoullis equation, coefficient of lift etc prior to the starting the ATPLs, I would hate to think how much more difficult it would have been.
In these competitive times you have to have a USP, unique selling point, so that when Mr Chief Pilot decides to pick up a thousand CVs you have to have an edge on the 999 other applicants, also if I was in the position of hiring and had to choose one of two guys I would go for one with a degree rather than one who when straight into flying from school!!
If I had to do it again I would do aeronautical instead of mechanical but still I would certainly recommend it!!