Thanksgiving is the biggest travel holiday of the year in America. The airports are at their busiest this week as whoever is travelling is condensed into the same few days.
Wednesday - people tend to leave work early and do a last supermarket shop for perishables
Thursday - Most people get up, and watch the parade (Macy's department store in NYC does a huge parade that begins on the Upper West Side of NYC and progressed down to Times Square (where Macy's is located).
Food is prepared and people eat a big meal mid/late afternoon with friends and family. Watch football on telly.
Friday - the 'official' start of the Christmas shopping season. All the stores have huge sales to 'kick off' the shopping season, and it is one of the busiest days of the year for purchases.
Friday and Saturday - after Thanksgiving are big days for important college football games - it is getting close to the end of the season, and many big long-standing rivalry games are played on those days.
People also start to put up outdoor Christmas lights on their houses/on trees in the yard over this weekend. Wreathes go up on front doors, and mailboxes at end of drives start to be decorated - though not everyone decorates the outside of their home.
So in summary - friends and families get together to eat a big meal, lots of football is watched, Christmas shopping/decorations begin.
Agree with poster who said it is a lovely holiday because there isn't the stress of shopping/gift giving, etc.