I agree with Whtsthefrequency--a PhD is probably easier to integrate with a residency, and there are many advantages to doing so.
I considered it briefly in my first year of vet school, but had a professor steer me away from it. His reasons--1, you miss your year of clinical rotations, which may be your only chance to do surgery (as well as other clinical stuff); 2, it's good to get experiences as different institutions (he also recommended against doing a residency in the same place as DVM). What if you get into a DVM/PhD program and discover another school would suit your needs better? You'll be much better able to pick the right fit for your PhD. once you've been in vet school awhile and made some contacts.
I am participating in the Merck-Merial/NIH-funded Summer Scholars program for veterinary students this summer--$5k stipend to do some research in a mentor's lab, plus some interesting seminars and an all expense paid trip to a symposium. Open only to those without research experience who are not currently enrolled in any PhD program. It has given me a tremendous amount of insight into research--I would highly recommend it. The day-to-day realities of being a researcher might very well be different than you expected--it wasn't quite what I expected, I know.