It's got pagan roots, like all good holidays.
http://en.wikipedia.org/wiki/Thanksgiving
But it's beauty is in its execution more than anything. It's like a holiday free of religious obligation or celebrating the mass deaths of some republic, and the only thing its participants are expected to do is eat and drink themselves into a coma. Somehow the American marketing machine hasn't yet found a way to pervert it into some horrible commercial opportunity... even if they came close with this "Black Friday" bullcrap the day after.