Thanksgiving is one of my favorite holidays.
First - I like Thanksgiving because it is all about being at home with family. A lot of other holidays - New Years, Halloween, 4th of July we spend at other places, but Thanksgiving is always "home".
Each year, I let my boys make their "What I am thankful for" list. They will usually start about a week before and add to it as the days get closer. I try to get them to commit to at least one item per day.
It all starts with construction paper...
Each page is dedicated to one 'thankful thing'....I encourage them to not only write it down, but to also use a picture or even a story to detail what and why they are thankful for that thing. Then I will let them even have free reign of the camera and get their own pictures to use in their pages. Yes, we end up with a lot of pictures like this:

?????
I know it is fun for them to have camera control! I once thought about starting a blog with only pictures that my kids take....I mean, sometimes the stuff they capture amazes me! Even more than the pictures are the stories behind them!
My oldest (he's 7) took this picture of a cross in our yard, he said it still looks good no matter how far or close you are to it.

He said it is just like his cousin, Meagan (she died in a car accident earlier this year), no matter how far or close she is to us, she still looks good! Great lesson from a kid, huh?
Anyways, the camera thing encourages them to get creative, and makes it so much more personal. By the time Thanksgiving Eve gets here, they will have lots of pages put together in varying colors with pictures, drawings and stories all about the things they are thankful for. We use Thanksgiving 'Eve' to put together our books using either ribbon, glue, fasteners or plain old file folders.
My boys will each make a cover page that says....
"Thanksgiving 2007"
What I am Thankful for...
Then we take a picture each child while holding their book and attach the picture to the cover. The next day they are glowing while showing off their books to our big family! Each year we save the books and start our new one by looking back at the year before. It is funny to see how they grow and change year to year.
I imagine holding on to these until my boys become fathers, and then giving it to them to start their own Thanksgiving Family tradition! I know that in my family following tradition is important, but making your own is even better!