I'm intrigued it's not a holiday we celebrate.

It dates back to the Pilgrims sharing a fall/harvest feast with the local native Americans who helped them survive in the early years of their settlement in America.

Today it's basically considered a family gathering and feasting day. We get a long weekend -- it always falls on a Thursday, so get Thursday and Friday off work, which is usually used to travel to or host family gatherings. The "lucky" host gets to prepare a feast for the attending family (or propose a dinner out!), traditionally featuring a roast turkey. Other dishes vary but usually include potatoes, stuffing, and cranberry sauce, as well as breads and vegetables and dessert. Afterwards is often a nap to sleep off the dinner! Watching football (yes, the American one) or the Macy's Thanksgiving Day Parade in New York (most noted for the huge character balloons) is common, also.

The Friday afterwards is considered the biggest shopping day of the year by retailers, so they usually go all-out in attempting to attract shoppers. The Thursday newspaper is twice its usual size with ads, and all stores will be open on Friday, usually extended hours, and often packed full. Malls in particular are usually a nightmare, and horror stories abound of people near-rioting to get the limited special deals available when stores open.