kai did some experiments on this.
Here's the writeup in pdf form. He was also a guest on
Basic Brewing Radio on November 20th.
To summarize his results, mash thickness does not have a significant affect on attenuation, but thinner mashes (2 qts/lb) resulted in a sizeable increase in efficiency.
One thing I have wondered about, however, is that it may be that the ratio of mash to sparge water is a greater influence on brewhouse efficiency than mash thickness alone. So, thin mashes may increase efficiency for low-gravity brews, but it may decrease efficiency in high-gravity brews because there would be so little sparge water.