I forgot a couple of things. First, make sure you ask around over on the New York City forum. There's lots of good info there.

Here a couple of links from that forum about TDay in NYC from last year.
Things To Do
Thanksgiving Dinner

Next check:
About New York
Open Table

Lastly, I got this from Zagat:
"November 25: Who needs turkey on Thanksgiving? Counter, the stylish East Village vegetarian, is offering a five-course vegetarian menu featuring items such as cauliflower, leek and roasted apple bisque and chestnut pasta with black trumpet mushrooms (seatings at 3 & 7 PM; $50, $75 with matching wines; 212-982-5870). Other places to keep in mind for Thanksgiving include: Aureole, Bayard’s, Beacon, BLT Steak, Bouley, City Hall, davidburke & donatella, Dumonet, Gotham Bar & Grill, Guastavino’s, Kings’ Carriage House, Mark’s, One C.P.S., Ouest, Park Avenue Cafe, River Cafe, Tocqueville, Zoë, plus most Chinese restaurants."