A theocracy of their own was the goal of the Pilgrims in whose honor we supposedly celebrate Thanksgiving. They wanted to create a state where they dictated belief and behavior, instead of living in one where someone else dictated -- or worse yet, one where lots of choices were available. Fortunately for us, America instead ended up as the most pluralistic society ever known -- and the most friendly to Jews, whether believers or not.
Thanksgiving is no longer a holiday of hero worship at all. Who wants to make a detailed study of the fight against starvation and against the nearly-decimated Indian tribes? In any case, the local native Americans had died in large numbers from Western diseases a few years before the Pilgrims stepped onto Plymouth Rock. In short, Thanksgiving has morphed into something that scarcely resembles its beginnings. And why we choose to celebrate this particular band of fanatics is lost in historic this and that.
Like Jewish holidays, Thanksgiving centers around a ritual meal. In fact, it almost mirrors Jewish holidays: we almost died (for Jewish holidays it's "they tried to kill us"); we survived; let's eat. Also like Jewish holidays, Thanksgiving doesn't fall on the same date every year. It has a completely different schedule from Jewish holidays or others -- it can come a few days before Hanukkah or almost a month earlier. So if you love things to be complicated, there's more for you in Thanksgiving.