I like the concept behind thanks giving celebration. It is not restricted by any religion, nationality, profession etc. We all should be thankful for the wonderful life we have :).
Okay, my co worker told me that when the European immigrants came into US, as a way of saying thanks, they shared the feast with native Americans, and that's how the today's thanks giving celebration started.
And in NYC they have feast of turkeys and a feast to the eyes, Macy's Thanks Giving Parade. There is lot of effort, cost and will involved in the preparation. Every year thousands of people come to see this parade equipped with ladder, blankets, chairs etc. Though the parade begins at 9.00 am, it is advised that you need to be there at 7 avenue 55th street latest by 7.00am. (In 2009, 83rd Macy's thanks giving parade, parade route was shifted from Broadway to 7th avenue. Its is crowded there, but it is crowded through out the parade route.)
Some photos of 2009 parade