Language Log has some interesting historical tidbits about Thanksgiving. One especially interesting note. While the current holiday was established by President Lincoln in 1863, as early as 1808, Thomas Jefferson was asked to declare a religious day of fasting and giving thanks to God. He didn’t think it was a good idea:

But it is only proposed that I should recommend, not prescribe a day of fasting & prayer. That is, that I should indirectly assume to the U.S. an authority over religious exercises which the Constitution has directly precluded them from. It must be meant too that this recommendation is to carry some authority, and to be sanctioned by some penalty on those who disregard it; not indeed of fine and imprisonment, but of some degree of proscription perhaps in public opinion. And does the change in the nature of the penalty make the recommendation the less a law of conduct for those to whom it is directed? I do not believe it is for the interest of religion to invite the civil magistrate to direct its exercises, its discipline, or its doctrines; nor of the religious societies that the general government should be invested with the power of effecting any uniformity of time or matter among them.

Jefferson sounds pretty reasonable to me. The current administration, I’m afraid, would highly disagree.