Do it. The visit can make all the difference. For instance, the school I was most excited to get into for reasons of fit, location, and general awesomeness just didn't give me the right feeling when I visited. Ended up liking another school more that I hadn't really considered strongly.
Rose, you might also be wait-listed. Last year, I e-mailed the department at around this time (horror of horrors!) and found out that this was the case.
It can be helpful for them when putting together a funding package. If they see what other schools you applied to and make a guess about which ones will want you, they can have a better idea of what their competition is.
I had the same worries, but I didn't write a thesis and ended up getting into plenty of programs! I'm sure having the experience might help, but I don't think not having done it hurts.
Absolutely look at UT. They have the most comprehensive Persian language and literature program in the country, and their Arabic program is arguably one of the best.
Hmm well yes the winters are cold. But I contend that you barely notice it, because you just don't go outside in the winter... you stay inside where it's nice and toasty, ride in heated cars, or bundle up like it's the last day on earth.
The summer are also really nice!
Minnesota is awesome! Minneapolis is consistently ranked one of the best places to live in the US. It's bicycle-friendly, green (when there's no snow), and affordable. There's lots of culture and great restaurants. They're expanding their light rail system. The winters are really not that bad -- just buy a good coat and take the bus. Srsly!
Anoveldave: I actually ended up accepting an offer off the waitlist that I hadn't visited, even though I had visited my other three schools. It made me nervous initially, but I talked to a whole bunch of profs and grad students, and in the end I was pretty convinced. However, there's still a chance that I'll hate the campus, which worries me.
This is all very subjective and of course depends on what your field of interest is. For example, UT Austin has one of the best Near Eastern Studies programs in the world, so if that's your field, I would say go there. UNC and Indiana also have great programs -- the others I'm not so familiar with. Have you been admitted to all of them? Have you been able to visit?