What's Halloween doing right? Ask any child and they will tell you Halloween is all about getting to wear cool costumes, play spooky music, movies, games, and of course there is the candy. Christmas? More music, more movies, more cool costumed characters, and the gifts don't hurt. If you want your kids to truly look forward to Thanksgiving and get into the spirit of it all, consider jazzing it up.
One way to do so is attire and I don't mean dressy clothes. Over the years, my kids have had fun wearing pilgrim hats or Indian head head dresses to the Thanksgiving table. My daughter even wore a complete pilgrim outfit one year. It added excitement for her, added to the table conversation for the adults, and it looked completely adorable. Consider letting your kids make their own pilgrim hats or head dresses for themselves, little siblings, and even for you.
Thanksgiving movies may not be abundant, but there are a few. Additionally, there is the Thanksgiving day parade to watch. Consider making a parade Bingo board to help your kids get into watching it more. Use things like Santa, the Rockettes, a band, a snoopy float, someone singing ...
As for addressing the whole candy or gift aspect, I'd suggest adding a "gift of thanks" tradition in the form of each person at dinner sharing what they are thankful for this year. You can do it many ways, go around the room and say it out loud, have everyone write it down and one person shares them all, you decide. Remember the goal is to add a bit of excitement for the little ones and I guarantee it will add to your day too if you succeed.
Speaking of the table, keep in mind that kid friendly festive decor and child friendly desserts certainly won't hurt in further setting the mood.
Happy Thanksgiving!