People in the Bible actually celebrated times of thanksgiving several times each year (particularly in the Old Testament). These included times of worship as well as feasting, and were meant to remind them of God's goodness and faithfulness.
These took place at set times each year -- at the beginning of the harvest, for example. They knew they were dependent on God for everything, and no matter how hard they worked, only God could provide them with a bountiful harvest. Giving thanks was also part of other festivals that reminded them of God's goodness in the past, such as the Passover feast (which commemorated their deliverance from slavery).
And this is what Thanksgiving should be for us -- thanking God for His blessings, both in the past and in the present. As you gather with your family or friends this Thanksgiving (or even if you're alone), pause to thank God for His blessings to you. Remember: He has given you everything you have. The Bible says, "Every good and perfect gift is from above, coming down from the Father" (James 1:17). Let the Psalmist's words be your guide: "Give thanks to the Lord, for he is good; his love endures forever" (Psalm 106:1).
Even if you're going through hard times, thank God for His presence with you. Most of all, thank Him for Jesus Christ, who gave His life so you could have the greatest gift of all -- the gift of eternal life. Have you accepted that gift? If not, make this a day of true thanksgiving by opening your heart and life to Christ.