Gesso is not really intended for use as a thick painting texture but I wanted to include it in this website as it is sometimes used to obtain thin texture under paintings.
The main use for gesso is as a sealant or primer for painting on canvas or any other surface. Most canvases that are bought ready made are already primed with 2 layers of size so do not need gesso on them. However, there are a number of reasons why you may want to use gesso yourself on your canvas or board. You may want to change the texture of the base that you are painting on for starters. If you use gesso with a stiff brush then you can add some subtle brush stroke patterns to your canvas before you start painting.
You can also apply gesso a bit more thickly to get a small amount of textured finish but if you do want something thicker then the best bet is to make your own texture or to add some kind of plaster powder to the gesso to bulk it up.
With gesso you really get what you pay for. I have bought and tried quite a few different types of gesso and it can be quite expensive. The cheaper pots of gesso are useful but they are a lot more watered down than the more expensive, thicker pots of gesso. So if the thickness of the gesso does not matter then by all means by the cheaper stuff, but if you want something that offers much better coverage then you will likely need to pay a little bit more.
You can make your own gesso with rabbit skin glue, chalk and white pigment but to be honest this is not something that I have done before as I find it much easier just to buy it off the shelf. However, if you have made your own gesso then i would be interested to know how it went and if you think you can save a lot of money by making your own gesso.
If I do not have gesso available then I will use a watered down version of my own home made texture which gives very similar results.