I don't make a special effort to thank someone who does me a favor, however I always feel bad whenever people help me, that's why I don't usually ask for help.
And when people need help, I kind of try really hard to help them, even when I can't do much. I just feel bad if I know that someone's struggling.
And about the 'thanking' part, it really depends. If the person is part of my family, then I don't really mind, but if we are just friends, then I would like to hear a small 'thank you'. Now it depends if I really made a big effort to help them. If it's something minor, then I can get over it.
Anyway, it's common sense to thank people when they help you, or at least that's what I think.