I'm pretty sure we've covered this before, but it's come up again so I don't feel it hurts discussing it again.
Should you respond to rejection letters, and, if so, what is the appropriate response?
I don't think there's any reason to ever respond to a rejection letter, and some agents will even tell you not to, ever, for any reason. That being said, for me personally, it never hurts to hear a polite "thank you" now and then. Most agents use form rejections of some sort or another, and for that reason I see no reason to send a response. In fact, one of the reasons form rejections are used is to help prevent responses to every email we receive.
If, however, you receive real feedback from an agent that actually sparks something in you or helps you "see the light," for lack of better phrasing, I think it's definitely nice for an agent to hear that her advice was helpful, and something simple is all you need.