As someone who found himself with very similar interest in triple-board who talked to a lot of folk, here's what I came up with (and have decided against pursuing triple-board further).
1) Various wacky economic and reimbursement factors make a joint pediatrics/child psychiatry private practice almost an entirely non-viable model at present. There's no reason at present to think this will change with time. Most folk are honest that the purpose of the triple-board is to train child psychiatrists, not to train folks who are fully equipped to practice in full capacity as pediatricians and adult psychiatrists as well. Fortunately, there's a significant need for child psychiatrists.
2) While research as a triple-boarder is not uncommon, there's simply not a lot of elective time for the magnitude of a project that most folks who would say "I'm interested in research" would want to pursue. Of course, you can pursue a post-doc like anyone else, and perhaps some of the research opportunities on the pediatrics side (which I know little about) would prove advantageous. The programs highlight their versatility, but be wary that all research opportunities are simply not the same.
3) Difficulty? Like in psychiatry in general, competitiveness is a difficult to quantify. There aren't a lot of spots, obviously. Saying that, there aren't a ton of applicants either, and several of the institutions that offer triple board are generally on the lower-middle end of competitiveness. But from the folks I've talked to, triple board PDs are looking for folks who have a really good reason for wanting to do triple board. Assuming you're qualified for the position (i.e. passed steps reasonably above minimum passing grades, nobody says in your evals that you are a total prat that shouldn't be allowed to touch a child), the biggest factor in your application will probably be your reason for wanting to be a triple-boarder. From what I've been told, the average applicant doesn't have a particularly compelling reason ("I couldn't decide between peds and psychiatry" doesn't get anybody excited), so if you do, you may be set.
4) That said, there definitely are some good reasons to do triple-board. If you are extremely interested in child C/L and psychosomatic research. If you want to do a lot of international work. If you plan to be a child psychiatrist in an incredibly rural area, and realize that there will be times you'll be the only MD in a 50 mile radius. There are bad reasons as well: "I can't decide" and "on Monday and Thursday I'll be a pediatrician, Tuesday and Friday a child psychiatrist, and I'll see my adult patients on Wednesday." Also, make sure you don't include "I wanted to be a real doctor" anywhere.
Triple-board appealed to me because of an interest in ADHD research, and because the training genuinely sounded like an enjoyable enterprise. Given my relatively traditional career goals, I just couldn't justify it. The biggest factors for me were probably a) limited research time to pursue any sort of significant project, b) limited number of programs, and c) shortchanging of adult psychiatry.
