Most themes do have sidebars on every page but as airairodyssey points out Twenty Eleven does not. Only a few themes do not have sidebars when viewing single posts and pages on their own pages. See here > http://wpbtips.wordpress.com/2009/11/12/widgets-on-pages-or-single-posts/
It’s also wise to know that when a blog displays widgets on each and every page there are two factors to consider.
(1) The more widgets there are on a any page the longer that page takes to load. Studies show people click out after waiting only 3-4 seconds. Moreover page loading time is a page ranking factor. So if you choose a theme that displays widgets on every page then make sure you have set the number of posts displaying on your front page to a low number, consider inserting “the more tag” into the posts displaying on your front page to reduce page loading time.
> Settings > Reading
see also > http://en.support.wordpress.com/splitting-content/more-tag/
(2) If you choose a theme that does display widgets on every page in the blog then the best advice is do not install any decorative vanity widgets. Install only those that direct visitors to content found deeper than the front page in your blog