I wrote a seperate post here with a list of appropriate LDS music I could use and which are my favorite songs. 

For lesson ideas, I looked at the lds.org FHE manual under the topic "gratitude."  One of the lessons has you discuss Mosiah 2:19-24 and discuss ways to show gratitude to Heavenly Father and Jesus.  The story of the Ten Lepers (Luke 17) is also a good one when you're discussing gratitude.  You can find more great gratitude lesson ideas here: http://www.fastq.com/~jbpratt/lds/resources/gratitude.html and http://lds.families.com/blog/family-home-evening-thanksgiving.  I think that since my kids are small and we are going to a friends' for Thanksgiving, I'll explain some Thanksgiving dinner expectations and talk about how I'd like them to act while we're at someone else's house.

As for games and activities, I found this page on about.com that has some Thanksgiving game ideas: http://www.amazingmoms.com/htm/thanksgiving_games.htm.  I'd like to focus on giving thanks and being grateful, so there was one game in the list that stood out.  Here are the directions:

"Thankerchief"
Arrange the children/players in a circle. Pass around a "thankerchief" (handkerchief) around as everyone recites this poem:

Thankerchief, thankerchief, around you go – 
Where you'll stop, nobody knows.
But when you do, someone must say,
What they are thankful for this day.

The player holding the "thankerchief" when the poem ends, must 
say aloud, one thing for which they are thankful. This continues until 
everyone has had a turn.

On second thought, really little kids like mine may not be able to think of things they're thankful for and say them aloud.  So, maybe a game of Duck, Duck, Goose (or Duck, Duck, Turkey?) would be a better way to get them involved. 

Some other activities I found on theholidayzone.com that I liked were:

• A Thanksgiving Collage: cut out pictures of things you're thankful for from magazines and paste them on a poster
• Chain of Gratitude: write things you're thankful for on small strips of paper and loop them together with staples or tape to make a chain
• Thankful Tree: make a trunk out of brown paper, then write what you're thankful for on "leaves" (construction paper traces of your hand or leaves, or real leaves might work if you use a marker), then paste them on the trunk
• Thanksgiving Certificates: think of people you are thankful for and make award certificates or write thank you notes with things you're grateful for about them (you could send cute Thanksgiving e-cards from this site, but watch out because there are ads all over it)

For medium sized kids who are into jokes, here's a site with some very silly, but completely clean Thanksgiving riddles.  And if your kids are old enough to not eat the crayons, here's a site I like that has good, free Thanksgiving coloring pages to print.  Some of them are called "Bingo dauber pages," and if you wanted to I think you could make a game out of it by letting the kids color in or put a sticker on one empty dauber spot for each thing they say they're thankful for (or something like that). 

If you want an extended activity, watching the movie Pollyanna and then playing "The Glad Game" could be really fun.

For dessert, I think I'll do something like this relatively healthy pumpkin bread, only maybe in cupcake form so it doesn't take so long to cook and to help with portion control.