Speaking as a current chief resident, it helps a lot if you are planning to join the faculty of the institution that you are training at. It also probably helps some in terms of getting interviews for some fellowships, but probably does not help as much as very good letters of recommendation, or an already distinguished research track record in your chosen field of subspecialty. You have to realize that in general, you are going to be working substantially harder than your colleagues, so it is important to know that going into it given that the return from it isn't necessarily huge. Just my 2 cents.