This depends...if you are renting the home, will this be a "legal" bedroom with the egress window in your area? If so, it may be worth it. 3 bedroom rentals do bring in a higher price, however a bedroom in the basement won't be great for every family. For instance, a set of parents with two girls and a boy would want three bedrooms, but if all of those children are under the teen ages- then they would probably not want a basement bedroom. Yet, a family with teenagers, or a single mom that wants to share her space with an adult friend to help with housing costs may love the split design. (If you are renting section 8 homes, you also get more for three bedrooms and there is a higher demand- but the codes may even be more strict than those for regular rentals- you will have to check with HUD for your area.)
If you are selling the house? I would say "no." You could very easily get a few quotes to have the egress window and show it to prospective buyers. Listing it as a "possible third bedroom." This may give buyers who want three bedrooms an incentive to purchase your home, for a little more than a 2 bedroom might go for, if it is just a simple conversion. They may see it as a "deal," and you may get a bit more money for this on your home. However, putting in the window and trying to just push it as a "three" bedroom might not fly with perspective buyers, and it probably won't bring you the same money as other three bedroom homes in your area.
Hope that helps! Good luck.