You should always write a thank you letter after an interview. It can be either a short handwritten note on conservative stationary, or a typed, business format style letter (also short).
If you have met a number of people at the firm, you can write one letter, addressed to the hiring partner or person with whom you spent the most time, and ask that person to thank the other people in the firm who you talked with. If you are interviewing with a large enough firm, you should also write a thank you note to the recruiting coordinator to thank her or him for making all the arrangements.
Writing thank you notes for on-campus interviews is also a good idea. If you do, make sure you do so promptly (within a day or two), and that you write individually to each interviewer.
A final note about thank you notes -- a poorly written one (mis-spelling the interviewer's name, for example) will hurt you, so be sure to proofread!