When I interviewed for my current job, I had the opportunity to meet separately with the hiring manager (now my boss) and with the CEO. I actually sent two follow-up letters, each addressed individually in its own envelope. A little extra effort is noticed and appreciated.

I find it surprising that people have never heard of sending a thank you after an interview. I thought that was standard interviewing etiquette. There are so many websites and other reference material devoted to do's and dont's, such as how to dress for an interview etc., that there's really no excuse for saying "I didn't know I was supposed to do THAT."