Also remember that many physicians complete fellowships after finishing residency in order to be more marketable or practice in an area of interest. For example, a typical training of a pediatric surgeon is 4 years med school -> 5 years g-surgery residency -> 2+ years research -> 2 years peds fellowship. Similar with CT surgery, transplant surgery, etc. Medicine subspecialities can be similar, interventional cards: 3 years IM -> 3 years cards -> 1-2 years interventional.
Ultimately though I get the feeling that by the time you're in a position to consider fellowship, the bad hours, lack of income, and lack of autonomy are overshadowed by the desire to practice something you enjoy and set yourself up for a great career. Perspectives change as you progress through training. I used to think residency sounded like a long long time (and it still seems so sometimes) but the closer it gets the more I realize that it's absolutely necessary to practice as a physician and so the years are more of an opportunity for essential training that must be taken advantage of than a "burden". Being able to practice with supervision is a luxury you only get in residency.