For a nice dinner like Thanksgiving, buy real French. Spanish is probably a better value, but if you're only buying one bottle, a nice bottle of real champagne is pretty affordable. Veuve-Clicquot and Moët are probably the most common, and are just fine, but if you have Billecart-Salmon, Pol Roger, Laurent-Perrier or Taittinger at your local liquor store, I think those are all excellent choices.
Most French Champagne is pretty dry, so if your cranberry sauce tends to be on the sweet side (or canned) , pick up a bottle or two of Prosecco in the no-more-than-$15 range to go with that.