JamesD:Assuming you mean PADI, they do teach it in Cavern Diving at least (no idea if it was really on the sylabus or whether I just had a decent instructor).
I just happen to have the cavern specialty standards and instructors guide right here in my lap and the rule of thirds is taught in the cavern class.
Of course, most divers, including instructors, don't take the cavern class and the principle behind the rule of thirds applies a little differently in open water.