Fact: The Pilgrims were a group of Puritans who landed at Plymouth Rock, in what is now Massachusetts, United States, in 1620. In 1621 Governor William Bradford of New England proclaimed a day of "thanksgiving and prayer" to celebrate the Pilgrims' first harvest in America.
The first official proclamation of Thanksgiving was issued by the town council of Charlestown, Massachusetts in 1676, and set aside the twentieth of June of that year as "a day of Solemn Thanksgiving and praise to God for his Goodness and Favour" in the midst of the hardships of founding a home in the New World.
United States president Abraham Lincoln, following the precedent of a number of states, designated a national Thanksgiving Day in 1863.
More history on Thanksgiving: Wikipedia, The Writer's Almanac
Our Thanksgiving table in 2009 with friends in Costa Rica - a mix of local flora and ingredients we packed down from the Northeast.