Well, there is the shopping and the eating. Walking around the Venetian, the Crystals shops or the Forum shops is always fun.
I would recommend going on a hike, but that time of the year is a little unpredictable weather wise. It is one of the best times to go to Vegas though, in my opinion as it isn't super busy.
For the best buffet on the strip for Thanksgiving
I would say:
1) Aria
2) Wynns (if you are doing this, you are saying f the money and getting the VIP mimosa/limo package)
3) Mandalay
4) Bellagio
The key is to find places that have Alaskan king crab for no upcharge, good prime rib, any unlimited alcohol specials and any line cuts/reservations, although if you don't mind going early (4pm West time) then you should be ok. But waiting in line with kids is terrible.