It can really go either way. With a sprayer, you have more control over the coating thickness, so Whether the coat is thick or thin is determined by the technique of the person spraying. The same thing is true with rolling.
Spraying has the potential to put on a very thin coat, and it is often done that way. But it doesn't have to be.
Personally, I pay close attention to coating thickness, as I feel it's very a important factor in how paint performs. I have posted this before, but this is a simple tool used to measure the thickness of a wet coating. It's called a 'wet film gauge'. If you ask, they will usually give you one for free at SW. The little teeth on the card sink into the wet coating to varying degrees to give you a good idea of how thick your coat is. Most interior latex paints are specified to go on between 3.8-4 mills.