There really aren't many Thanksgiving movies. As a major holiday, it's really underrepresented in movies.
When I think of Thanksgiving in movies, the main one that comes to mind is "Avalon". This one doesn't really translate though because, even though Thanksgiving plays a major part in the movie, it's more of a July 4th movie.
The main one most people think of is "Planes, Trains and Automobiles". It's considered a classic. But it's interesting to learn that another, completely different movie could be made from the footage that John Hughes intended to be included.