Just went through this process, and I wrote thank you's during my travels recently on the interview trail. If you choose e-mail (which almost everyone does these days) it actually opens up an opportunity for you to follow up and show extra interest if you really liked a program. The same is true for programs too as I had several write me back with positive feedback.
That being said, absolutely program-specific and some are almost like Fort Knox and won't send anything back. Go with your gut, but a quick thank you to those who took the time to interview you (especially if you really liked the program) certainly cannot hurt you.