from Wikipedia

Thanksgiving or Thanksgiving Day, currently celebrated on the fourth Thursday in November (in 2012 this will be 22nd November), has been an annual tradition in the United States since 1863. Thanksgiving was historically a religious observation to give thanks to God.

The event that Americans commonly call the first Thanksgiving was celebrated to give thanks to God for helping the Pilgrims of Plymouth Colony survive their first brutal winter in New England. The first Thanksgiving feast lasted three days providing enough food for 53 pilgrims and 90 Native Americans. The feast consisted of fowl, venison, fish, lobster, clams, berries, fruit, pumpkin, and squash. William Bradford's note that, "besides waterfowl, there was great store of wild turkeys, of which they took many," probably gave rise to the American tradition of eating turkey at Thanksgiving.