It's a time to get together with family and/or friends, depending on your situation.
There are a few football games on, so that's closely tied into the holiday as well. I think the Cowboys and the Lions always play (though not each other.)
The food is the main event and pretty much everyone eats the same traditional Thanksgiving foods: a whole roasted turkey, stuffing, gravy, mashed potatoes, sweet potatoes/yams, cranberry sauce, green vegetables, bread rolls, and lots and lots of dessert. Generally pies: pumpkin, apple, pecan. There are some cultural/ethnic food variations that can vary by family. For example I had Italian-American friends growing up and for some crazy reason they also had lasagna. I've been told by other British friends that it resembles a traditional "sunday dinner."
Other traditions include but are not limited to, backyard football, sibling rivalry, sleeping in your childhood bedroom, sneaking away to smoke weed, drunken political rants from your crazy uncle, and old men falling asleep on the couch after eating too much.
why it's necessary to have this major holiday less than a month from Christmas.
I'm afraid no one knows the answer to this. Except maybe that Americans are masochists?
edit: since we're on a film forum, there is one that comes to mind that shows how a family Thanksgiving might play out in a typical American household, if you want to get a sense of it and maybe get into the spirit:
http://www.imdb.com/title/tt0113321/