My guess is that one person started it, another see's them doing it and thinks they'd better do it too, and before long its socially wrong for you not to do it xD

That seems likely :P I'm glad someone is as unsure as me!

Hypothetical situation:
You are drawing/painting/whatever in the street. Someone walks up to you and tells you that they love your work, particularly piece X (+fav). They ask if you have any more like it, and you say yes, you wil in fact be drawing some like it over the next few days, to which they respond by saying they'll stop by to take a look (+watch). Wouldn't you give them thanks for their support and interest?

Same principle online.

In the analogous circumstance you would be correct in suggesting that thanking would be appropriate, Cali. But I think the difference is that on this site you don't "stop by and take a look", there's zero dialogue involved. If they posted on your profile that they like your work and will continue to keep a track of it, then a thank you would be appropriate. Assuming only a watch but no comments or favs or anything, the person who +Watched might as well be completely anonymous and unnoticeable.

Maybe it's because I grew up on Youtube where people doesn't really thank anyone for subscribing to them. People still make videos to the best of their ability and wish to see what people think, like here. But that's commenting, and I can agree that pleasant and constructive comments should be shown gratitude. But a +Watch doesn't change the artist in any way, let alone by a significant enough amount to thank someone for it. It just means their pictures are slightly more easily accessible to someone else on the site.

Yus? Nope.avi?

Well people just say thanks to be polite. They feel that their work is being appreciated. Also it is possibly a bleed over from dA. Q-^

Someone's gonna write a history book on the websites of the early 21st century and their users' trends, many years from now :P

Won't be me :p

And wikileaks! That shit's goin' dooowwwwwwwwwwwwn (in history)