My small experience so far agrees with yours, Alisdair:
Thymus vulgaris, T. citriodora and even Thymus hirsutus "Godet", which Olivier Filippi reccomends for a lawn alternative, are seriously struggling in this, their second year, though they receive water by hose once a week, sometimes twice. They looked so fabulous in Spring that I abandoned the idea of putting irrigation in; having been fooled into thinking they were established, I am regretting the decision now and I will probably put drip lines in.
Thymus mastichina and Thymbra capitata are, for me also, perfectly hardy and establish quickly. The Thymbra is particularly impressive: from tiny, thread-like seedlings a few centimetres tall, planted in early Spring this year, we now have healthy, many-branched shrubs around 20-25cm in diameter.
One of the gardens where I used to work was a few kilometres inland and had the heavy, rich red clay soil typical of the foothills here. Amazing stuff that could only be worked during the couple of weeks between heavy rains and complete drought, but the moisture retaining capacity of this soil certainly helped the plants. Here Thymus vulgaris grew without any irrigation as a full and healthy bush to around 50cm high.
I am interested to see what others say on the subject, too; as John says, it is such an important cooking herb and I imagine there must be some excellent droughty-garden-worthy species out there.