dh was always surprised when he was thanked, but that was in the early 80's and people didn't do it as readily...
then he would say "i get to fly a zillion dollar jet faster than the speed of sound & drop bombs on things & blow them up...maybe i should thank him / her for paying their taxes so i can have such a good time."
i always make sure to thank them.. because it is the land of the free, because of the brave.