The answer is yes.  Nitriding will produce a compressive residual stress on the surface which will increased the fatigue life.  If you are trying to improve fatigue life you can also roll the threads.  You can also cryogenically treat the rods to increase the fatigue strength.

Frederick,
as a student of materials I have never heard of cryogenically treating metals to increase their fatigue strength, what is the mechanism and does it only apply to 4340 range?. Can you point me to any other resources on the web?.
thanks
Gary

Gary,
     the theory behind cryogenic treatment is to finish off any martenisitic transformations that were not completed. Any retained austenite cuases localized stress due to its volumetric difference to martensite (approx 2%). By finishing off the transformation the internall stress are effectively relieved. Most heat treatable ferrous materials will benefit from this treatment but is generally only perfromed on high stress components.

Cv1 is correct that some stress is relieved by the austenite to martensite transmformation.  However, there are other mechanisms going on here above and beyond this transformation.  Cryogenic processing will induce fatigue resistance to metals without austenite or martensite, for instance titanium and copper.  For instance, I have seen a sevenfold increase in the life of automotive valve springs.  The odd part about it was the springs were treated after the shot peening.  Since cryogenic processing is known to relieve residual stresses other than the stresses relieved by the austenite to martensite transformation, it can be presumed that we relieved the compressive residual stresses induced on the valve springs by the shot peening, yet still had a very large increase in fatigue life.

Gaz.
Since I am not sure of the etiquette of posting web addresses on this site, if you will email me at info@metal-wear.com, I can point you in the right direction.  Also you can do a search on the web for the Cryogenic Society of America.

There is more going on as a result of cryogenic treatment than is understood at this time. Why is carbide wear life increased, even when the carbide is TiN coated? The best advise I have is to try it on whatever and accept the results of a scientific study regardless of whether it is understood.

are there any links to view photos of nitrited case depths
for examples of good & not so good