It may be a civic holiday, but I have always loved it.
How convient that our Advent preparation for the Incarnation of God is so neatly preceeded by a day of thanks. Christians offer their supreme thanks at every Mass; the Church's prayer of Great Thanksgiving centers on God's one supreme provision in the sacrifice of Christ for us. The Church thus celebrates its own thanksgiving feast, the Eucharist.
The thanks-giving Pilgrims knew this. Here is the text of the Anglican prayer of Great Thanksgiving which the Pilgrims would have known, from The Second Prayer Book of Edward VI, 1552.
Almighty and everliving God, we most heartily thank thee, for that thou doest vouchsafe to feed us, who have duly recieved these holy mysteries, with the spiritual food of the most precious body and blood of thy son our saviour Jesus Christ, and dost assure us thereby of thy favore and goodnes toward us, and that we be very members incorporate in thy mystical body, which is the blessed company of all faithful people, and be also heirs, through hope, of thy everlasting kingdom, by the merits of the most precious death and Passion of thy dear son. We now most humbly beseech thee, O heavenly father, so to assist us with thy grace, that we may continue in that holy fellowship, and do all such good works, as thou hast prepared for us to walk in: through Jesus Christ our Lord, to whom, with thee and the holy ghost, be all honour and glory, world without end. Amen.
Oh give thanks unto the Lord, for He is good, and His mercy endures forever. Happy Thanksgiving!