Like Halloween, I fondly remember Thanksgivings past for what they were not - religious holidays. Growing up, Thanksgiving was almost never made into any sort of religious celebration. I have to add the "almost" because this was not necessarily true when my family would go to friends' homes for dinner. On these occasions, prayers would be imposed on the guests.
Of course, these memories reflect stimuli filtered through the mind of a naive child. Christians would be quick to point out that the entire notion of giving thanks has Christian roots, and they'd probably be right. While the greeting card industry has managed to remove most traces of religion, the religious roots of Thanksgiving are undeniable.
One particularly annoying tradition in which I could almost always count on having to participate involved each guest taking turns and publicly sharing why he/she was thankful. Guests would often be asked to hold hands, bow their heads, and go around the table sharing the reasons for their gratitude. So, who exactly is it that I am thanking for my health, etc.? Fate? Luck? The flying spaghetti monster? The unstated belief is rather obvious. In many American households, this is a religious holiday.