One thing you have to remember is that you'll never achieve the type of sauce you can get at the store out of a can. Why? Because you are not adding anything fake in it. No colors, no thickeners, no artificial flavors. All of that being said, there are methods to a thick sauce. The biggest mistake most make is too much heat. You don't want to overheat sauce. You'll get separation. If you have ever noticed canned sauce on a shelf with water on the top and sauce an inch or more down, that sauce was overheated when it was cooked. I know of some Italians that cut their tomatoes, put them in a pillow case and hang them overnight to drip getting rid of excess water. That trick works quite well. Finally, use the correct tomatoes. Romas are some of the best for sauce. If you are using "Big Boys" or sammich tomatoes, your sauce isn't going to be very good and probably have a horrible aftertaste. Ask me how I know.
Awesome post Finster.
I will add that Amish Paste and San Marzano make for great sauce maters as well. I love them for sauce and use the big canner maters for juice. When I clean and core I place the maters in a colander, same concept as the pillow case, it does help get rid of some of the water.