I'll look to see if I can post a copy of the thank you letter we send at the end of the season, but I'm sure it's pretty standard with a section thanking them for their support and includes a summary of our results of the year.
To help build excitement for our sponsors, we send them a newsletter on a regular basis telling them what the team has been doing. Here is a link to our January, 2010 newsletter
Rolling Thunder January 2010 Newsletter
While it doesn't replace the need for a fomal thank-you letter, some of our sponsors have indicated that they like it more than the thank you at the end of the season.