The New Yorker‘s 2011 Thanksgiving cover is very interesting:
The cartoon is making the point that the Pilgrims were illegal immigrants, and given the magazine’s leftist leanings, one would think the implication is that we shouldn’t be too hard on illegal immigration. But of course, New Yorker cartoons are rarely quite that shallow.
If the analogy is that today’s Latin American illegal immigrants are the Pilgrims of yore, then today’s Americans are the Indians of yore. And if the analogy would hold true, then the fate of Americans over the next couple of centuries is to at first be befriended by the immigrants, only to slowly be decimated by them via disease, war, and cocaine (white people’s firewater). Eventually, there will be forced relocation to American reservations where the residents can try to hang on to some semblance of dignity by building casinos, even as most of their descendants leave the reservations and embrace Hispanic “culture” as their own. But, at least they’ll name soccer teams after the tragically brave peoples: Washington Whiteskins, Kansas City Bankers, Florida State Anglo-Saxons; maybe even some baseball teams: Atlanta Gluttons, Cleveland Americans. Such is the circle of life of course, but it’s surprising to see The New Yorker come out with such a harsh and slightly racist anti-immigration message: just because the Pilgrims were evil doesn’t mean the Hispanics will be too.

Ferris' "The First Thanksgiving", in which no one is wearing historically accurate clothing, and the Indians are for some reason sitting on the ground -- oh wait, it's because they're savages. Photograph. Encyclopædia Britannica Online.
NPR also has a surprising article, outlining how the first Thanksgiving wasn’t anything like what we think of as a traditional Thanksgiving — aside from both being feasts. About 50 years before being exterminated by the immigrants in King Philip’s War, the Wampanoag Indian government welcomed them with open arms. In the winter of 1620, they provided the Pilgrims with access to public lands, didn’t pepper-spray them, and enrolled them into their state welfare system in order to provide them with food assistance, healthcare, and free education in their native tongue, using ASL (Algonquian as a Second Language) professors.
At the first Thanksgiving, as their graduation party came to be known, there were about 90 Wampanoag and 50 Pilgrims, all men. They partied outside for three days, eating venison, fish and fowl — among which there may or may not have been turkey present. But definitely no cranberries or pumpkin pie, as these weren’t yet invented.
One thing to note is that Pilgrims and Puritans are not the same thing — Pilgrims were Separatists that wanted nothing to do with Church of England and were thus persecuted, while Puritans wanted to reform the Church.
From The New Yorker and NPR

We’re thankful because the Pilgrims came to NorthAmerica & found U.S. They had a feast on “Thanksgiving”. So, we have a feast too!