Unlike other traditions such as Halloween, which has pagan roots, and Christmas, which celebrates the birth of Christianity’s founder, Thanksgiving has grown out of a motivation to thank G-d for the good people have gained in America, and is not associated with a particular religious group. As such, it would seem that it would be unproblematic for Jews, even those who are faithful to traditional Halacha, to celebrate Thanksgiving. Indeed, the article “Halloween, Thanksgiving, and Purim” posted on OU.org states that the majority of American rabbis did not prohibit celebrating Thanksgiving, including such Torah giants as Rav Moshe Feinstein zt'l and Rav Yosef Dov Soloveichik zt'l.
While Thanksgiving isn’t forbidden, should Jews still embrace it, or even celebrate it? From my own perspective, I can only say that I don’t celebrate it, nor do I think Jews should or even need to. One reason is that thanking G-d is a daily, some would even say constant, affair in Judaism. The first words we utter in the morning are “Mode ani lefahnechah,” literally “I give thanks before you,” an act of thanking G-d that is performed even before we get out of bed. The liturgy is full of praises of thanks and of acknowledgements that we cannot live without G-d’s loving help. An excellent example of this is the "Asher Yatzer" blessing said after using the bathroom. Even in such a mundane situation, we acknowledge what G-d does for us. We should focus our energies on daily thanksgiving, not just being thankful one day a year.
A second reason grows out of practical considerations. Thanksgiving Day always falls out on a Thursday, a day where much of the cooking for Shabbos begins. To stage a large meal or gathering on Thursday takes away from Shabbos, both in terms of prep time and in terms of quality. Shabbos is meant to be the height of the week, and a voluntary event of similar proportions can make Shabbos seem less special. In fact, I try to use the extra time I have off during this season to invest even more time on Shabbos, for example by making extra dishes or going more in-depth with the Parsha. Shabbos is actually a gift from G-d to the Jews, and to truly value, appreciate, and invest time in a gift one has received, is probably one of the highest forms of thanksgiving one can show.
What is your view? Comments welcome!
As is known by those who know, here in Israel we changed over our text of the Shmoneh Esreh this past Saturday night to include a supplication for rain, and it was raining plenty on Sunday, baruch Hashem. 
