Master's degree vs. Master's degree without thesis
Generally PhD programs require a significant amount of research. That being said, a Master's Degree with the Thesis option is a good indicator that you have applied rigorous and reviewed research methods in the past - and is therefore an example of what your future work may be.

As I was advised, "if there is any notion in your mind that you will pursue a PhD later in life - then you should take the Thesis option now."