With me it depends on the event.
For Christmas or birthdays, I never send a thank you note, although I DO make sure to actually thank the person, whether in person or by e-mail.
Now, if someone gave me a very NICE present for one of the two events, I would write one.
Big events in life ALWAYS ALWAYS ALWAYS require a thank you note, IMO: graduation gifts, weddings, showers.
If someone has gone out of their way for you, like say you're in the hospital and a friend helps take care of you while you're there, then that certainly deserves a thank you note.