It says right on the CASPRCRIP.org pages what each program gives. That's not always up-to-date, so don't hesitate to ask the residents on your clerkship... or before interviews. It's not a great thing to ask at interviews, but you are within your right to ask it. However, keep in mind that good training is >>> than salary/benefits. What you make as a resident is peanuts compared to what you will pull in as an attending if you apply yourself and play your cards right.
As jon mentioned, CME stuff can be expensive. Most of the good seminars I've been to (ACFAS confs and skills workshops, Podiatry Institute seminars, AO workshops, etc) give resident discount on registration, but the air + hotel + etc can get spendy - even if you're smart about it with priceline, etc.
Also, keep in mind that overall benefits are much more than just CME allowance. How good is the health insurance? Do residents get food allowance or free food (I'd estimate that to be worth $3k-5k over the 3yrs)? Is there a good and well funded research dept (which may help send you to other conf above and beyond your CME if you design, and plan to present, quality projects).
...As for residencys that give no CME allowance (ie VAs): Well, you signed the contract. If they don't offer residents CME or food or etc in the contract, then the hospital system either can't afford to and/or doesn't want to offer that stuff. You won't be able to "attempt to get this." If you didn't do your homework or didn't read the papers over before signing, that's a VERY VERY good habit to break... yesterday! If you are on contract to train at a residency hospital which gets no allowance, then I'd try to work with the local industry fixation/biologics/pharm reps to see if you can arrange some informational product lunches, dinners, and cadaver or sawbones workshops. As for major conferences and skill workshops, you're on your own. If you connect with the right ppl, some industry reps can put on pretty cool seminars and might send you (but those "educational" events' quality level and bias are sometimes strongly influenced by the sponsor company). Spend out-of-pocket wisely... and maybe stick to ones within driving distance?
I told you above what I like to go to, but to each their own. Fwiw, I spend my (generous) CME money allowance, get research dept funding for presenting my work some other conf, and still generally end up spending a bit out of pocket for workshops and conf I think are worth it. High quality CME with good speakers and good audiences is worth its weight in gold IMO... for education, networking, sharing ideas, etc. GL