Sending a Thank You letter is a must when searching for a job. Even if it just a dinky little note via e-mail saying a quick thank you. Why?
It shows that you are interested, better yet, it brings your name to mind.
Personally, I do not send out a thank you until the next day. Not that I have many chances to send one, but my reasoning is that it will strike them with an 'Ah-ha!' thought. The hope being that they will suddenly think that I am the perfict fit for the position. this senario is probably a pipe dream in this day and age.
But the fact remains that I will never not send thank you notes/letters after an interview. I feel that if you don't show even that little bit of concern for the position, and the people interviewing you, then you might be finding yourself stuck in the bottom on the list for job offers. This goes dubbel for an agent at a hiring agency.