One, we printed these leaves out on cardstock. On one side is a Bible verse concerning thankfulness, and we collaborate as a family to think of something we are thankful for to write on the other side (our list is here). We just staple the leaves on twine :)
Two, we are reading through this Thanksgiving book together as a family each night.
Also, we enjoy a certain Thanksgiving CD (Amazon has many choices) and make some fall crafts -- leaf rubbings, paper turkeys, etc.