"How much", depends on the application, but in general, yes.
For example, if you're doing a time domain control, you might have fairly low-latency sampling -- and that includes not just digital delay (maybe just a short sliding average or 1-2-1 filter, say) but analog as well (a modest RC or RLC just a bit below Fs/2?).
If you're doing an AC control, like a switching supply, or motor controller with synthetic sine, etc., maybe you want to filter low enough, or sample often enough, to average out some of the ripple; or sample synchronously so the ripple cancels out (for better or worse, i.e., aliased to DC). I recently did a resonant control that takes samples in quadrature, to better average out the ripple, independent of load phase shift; doesn't account for harmonics, but those will be a smaller part, so it's an acceptable compromise.
Then after that, it goes into your PID loop or whatever. You can't run this too fast, either, else it just goes unstable -- alternating divergent values as it feeds back on itself. The compromise in analog systems is phase: you incur a lot of phase shift, filtering inputs and outputs as you go; the compromise in digital systems is samples: it just takes a lot of them to do much of anything, so as to still maintain the illusion of continuity, of curvature, that you're ultimately trying to mimic.
So for control purposes, maybe the AA filter is fairly tight and modest, and maybe there's a small FIR filter after the converter, but you make up all of that in the control anyway, which has to be however much slower to do its thing.
For signal purposes, it's a simple matter of SNR with respect to out-of-band spectrum getting downmixed. You might need quite a high sample rate to keep flat phase response (Bessel AA filter), if that be a requirement; if not, a more relaxed analog filter will be suitable, but since digital sampling is so much cheaper in general these days, you tend to oversample, and maybe implement something close to a brick-wall filter (FIR or IIR as the case may be) before downsampling. Which is more or less what CD audio did (1-bit data) (IIRC?), and what a lot of sound cards do today (of course no one needs 192kSps 24-bit multichannel audio, but it's convenient to oversample and get just that edge in performance -- performance that might never be realized in any particular environment, but which is more tolerant of different environments).
Tim