Here is some fun Thanksgiving day info...
The first-ever Macy's Day Parade actually took place on Christmas of 1924. Macy's employees dressed as clowns, cowboys, and other fun costumes, and traveled with Central Park zoo animals and creative floats a lengthy six miles from Herald Square to Harlem in Manhattan.

NYC's Macy's Thanksgiving Day Parade: The Humpty Dumpty Float- 1926
The parade was meant to draw attention to the Macy's store in NYC, and the gimmick worked - more than 250,000 people attended the inaugural Macy's Day Parade. It was decided that this NYC parade would become an annual NY event in Manhattan.
In 1927, Felix the Cat became the first giant balloon to ever take part in the Macy's Day Parade. In 1928, Felix was inflated with helium, and without a plan to deflate this massive balloon, NYC parade organizers simply let Felix fly off into the sky. Unfortunately, he popped soon thereafter.
The Macy's Day Parade continued to let the balloons fly off in subsequent years, only these balloons would have a return address written on them, and whoever found the balloon could return the balloon for a prize from Macy's. However, the results of this experiment weren't exactly successful
The "Here Comes Santa Clause" Float in the 1950s at the Macy's Thanksgiving Day Parade