I was wondering what the consensus opinion of sending out a cover letter with a CV to fellowship programs you intend to apply to. The purpose of course is to introduce yourself and request any additional information in hopes of name recognition when cuts are made.

What do you think?

I've never heard of that. I wasn't advised to do so when I applied, and it never occurred to me to do it. PD's carefully read your application - I don't think you'd get any more consideration just for sending in your credentials early.