To some extent. If I'm picking up an unknown unit, the weight gives me some indication as to its quality. The majority of cheap PSUs have tiny heatsinks, sometimes very thin wires, and are often lacking in other circuitry, which means they're usually quite light. Units capable of putting out more power generally just require more "stuff" in them to do that.
That said, it's by no means a reliable comparison, low efficiency units will need larger heatsinks to cope with the temperatures, for example. When writing guides like this, I'm able to get far more detailed information on the PSUs, and the weight becomes superfluous.