Blogging Etiquette

We all love followers. As bloggers, it just makes our day when someone adds their name to our list. I'm pretty certain the sun even shines a little brighter in response.
Now here's my etiquette question/dilemma. When I get a new follower, I check to see if they have a blog and if they do I follow. Sometimes, I mention it in the comment section. What I don't do, is send a message. And that's my blogging etiquette question for the day.
If you're a blogger, do you send a message whenever you get a new follow?
If you're a follower, do you want a message of acknowledgement sent to you?

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Blogs of interest:
Amarinda Jones
Anny Cook
Julia Barrett
Shelley Munro