Do people actually do this? I've always assumed it was one of those pieces of advice they teach you in Interviewing 101 only to find that it isn't as applicable to programming jobs.
As a side note - if you are applying to startups, write your cover letters while sitting in SF/SV coffee shops that are known startup hotbeds. If you strike up friendly conversations with random folks wearing the right t-shirts you'll often get recommendations to apply to places you've never heard of, perhaps with a friendly "in" if you can impress them by being a personable, well-balanced individual.
As a shameless plug, hit me up if you are looking for a data geek or someone who honestly loses sleep over graph algorithms.
I do always personally thank the person (with a handshake) for taking the time to interview me or taking the time to let me interview them, though. But that's just common courtesy.
When I'm hiring programmers, I don't care about thank you notes. I don't care because how good a programmer is has nothing to do with being skilled at social niceties, networking, and so on.
For a business side role, however, these things are a must, and thank you notes can be good indicators.
I mean, a follow up until you get a firm 'no' is standard in most sales, and make no mistake about it, interviewing for a job is sales.
I've always thought it was a combination: a thank you that the person took time to talk to you and with you about the position (especially a non-HR employee), a follow up to the interview if there were other questions or to send a work sample as discussed during the interview, and to state again something that marks you as a fit for the position.
But everywhere I've interviewed at has used a loop of interviewers, so a thank-you note doesn't really make much sense unless I spam their loop... and that still doesn't make any sense.
It might have mattered back in the days of hand-typed letters and I'm sure some stickler curmudgeons still want to see it as some rite of passage/hazing thing.
It seems to be better received than null-content pings.