I respectfully disagree (somewhat) with treehorsio.
While a second look may be helpful to the candidate, there are situations in which it might hurt you. If a program has a formal second look process, then its generally acceptable to go and shouldn't hurt you (outside of the applicant being a total tool).
The problem arises when a program doesn't have a formal/semi-formal second look process. We all know the work that goes into an interview day and there are some programs where significant work goes into "hiding" the bad stuff, the ill behaved residents, etc. A second look means more work to hide the dirty laundry.
Alternatively, even good programs find having a candidate coming for a second look stressful - think about it, when you have a party you expend a lot of energy cleaning up, preparing, etc. If someone you don't know well but want to impress comes over *sort of* uninvited (even if they say "sure come for a second look if you like" this is not a formal invitation), its stressful because you want to show off, but yet you have a lot of work to do. This can be irritating (and I've heard complaints about it [mostly from residents]) because it takes extra time to include the student in on rounds, do some teaching, polish things up, etc.
In addition, if you are somewhat socially awkward you may find that the second look gives you another opportunity to say something wrong, ill-timed or to generally embarass yourself.
Bottom line: second looks are for you, they might show interest but do not expect that they will move you the rank order list and treat them just as you would a real interview day. Be on your best behavior and remember that a casual visit by you should have an agenda (what are your goals, what do want to see, whom do you want to talk to).
