(At least in my residency) You shadow a chief or a team of residents. This is to give you a feel for the everyday flow of work, personalities, and the environment all together. Albeit, you should expect everyone to be on their best behavior. More importantly, even though programs may deny it, it shows them that you are interested enough in the program to go through the cost (i.e. time, money) of coming back.
Personally, I relied on my interview alone and never went back for a second look. Others have done with good success, but you must really weigh the time and monetary commitment against the yield of the second look. Are you doing it to gain a better position in the program's eyes or are you doing it to help in deciding between two very close programs on your rank list? I think the latter should be the only reason to do a second look. Thank you cards & an e-mail late in the game will do the job of the former.
Best of luck!