Scansoriopteryx

It depends on the clade, some theropods were certainly feathered and there is fossil evidence to support it, others most likely were based on their relationship to other groups. This fellow was most likely feathered. Large Tyrannosaurs may not be but they had feathered ancestors ,see Dilong paradoxus. Finally, some theropods were definably not feathered such as abelisaurs. There are some nice resources on feathered dinosaurs on the internet, in fact the Wikipedia page is quite well done.