I already have two half-finished implementations, one that actually triggers new notes for every arpeggio step (dodgy like hell) and one that works more like traditional tracker arpeggio by modifying the current note's pitch. The latter works much better but naturally, with most plugins it still sounds weird, just like using normal tracker arpeggio with "normal" (non-chip) samples.

Thanks for addressing this issue!
I personally prefer the first implementation you mentioned, since pitch bends aren't always reliable, different MIDI instruments can bend by different amounts etc. To me at least, the note method makes the most sense, I hope you are able to iron out the issues with it.

Manipulating the notes is far from being as simple as you'd like to imagine it. It brings all kinds of problems, and as said, it sounds even worse. Besides, the user can already tell about the pitchbend capabilities of VST plugins in the instrument editor, otherwise pitchbend and vibrato effects wouldn't work properly.

Well in my case, I'm looking to drive an external MIDI instrument that doesn't actually support pitchbends...

Here's a preliminary implementation of VST arpeggio, using notes instead of pitch wheel events. How does this work for you? http://sagagames.de/stuff/mptrack.exe

Wow - this is AMAZING! Thank you so much! I haven't found any issues with it yet but this will be a great help to me. Really appreciate the time you spent on this, will let you know if I find any issues.

In case you are already actively using this feature, you may want to re-download the executable, as I've fixed some stuck notes that could happen in some situations.