Related to this question: How do I become a Thane?
For at least one of the locations you need to buy a house before you can become Thane, so what is the benefit of becoming a Thane?
As Thane, you'll have a Housecarl appointed who can act as your companion. Additionally, the guards can be convinced to overlook a variety of crimes if reminded of your station.
You'll also be given a pretty decent levelled magic weapon on being named Thane.