I agree that it is beneficial to select a program with a strong pain fellowship. Pain is the most competitive of anesthesia fellowships; I know of people who failed to get a spot anywhere. When I spoke to pain faculty at various programs when I applied for residency (my application made it very clear that I was committed to pain, so most places had pain faculty interview me), at all but one program I was told that priority was given to the local residents.
I ranked residencies mostly based on my perception of the strength of the pain program, and I have no regrets. Most strong pain programs are affiliated with strong anesthesia programs. As a CA-2, the faculty at my local pain fellowship have already assured me that a spot is mine if I want it, and having an excellent fallback program (which I am likely to stick around for, even if I am offered a fellowship at every other program) is huge. We don't interview many applicants, and I would not have been guaranteed of even an interview here if I had done residency elsewhere.
Being able to do pain research is also a plus - if your department did not have such resources, you could not pursue this. Similarly, getting letters from well-known pain faculty would be difficult if your program does not have such faculty internally.