I very rarely write cover letters, but I do remember getting an interview once and being told specifically that they weren't impressed by my resume but loved my cover letter.
Even after that I still rarely take the time to do it.
N = 1, but whenever I've hired, I've definitely noticed cover letters, or lack thereof. Not bothering with a cover letter tells the hiring manager that you are just shotgunning resumes out there and didn't spend too much time thinking about the company fit.
In fact, so few people seem to write cover letters these days -- let alone compelling ones -- that they can be a strategic differentiator in their own right.
It seems pretty high payoff for people who might otherwise not get a phone screen. When I was tasked with shuffling through resumes and rating them (and seeing other engineers do the same), less than 5% of applicants had cover letters, and the presence of a cover letter almost guaranteed a phone screen. This included really weird cover letters that dedicate a paragraph or two to food or pets or something, but not cover letters that are obviously sent out to many companies with at most a few words changed.
