"There is one day that is ours. Thanksgiving Day is the one day that is purely American." -- O. Henry
[That may come as a bit of a shock to my friends north of the border ... or maybe it's that this next bit would be a shock to O. Henry: happy (Canadian) Thanksgiving!]
"The US is our trading partner, our neighbour, our ally and our friend... and sometimes we'd like to give them such a smack!" -- Rick Mercer
[How often is that because of stuff like the first quote?]
 While Thanksgiving being the second Monday in October only goes back to 1957, according to Wikipedia, the existence of a Canadian Thanksgiving holiday tradition does extend back to before O. Henry's birth and as a regular annual event from ... around the time O. Henry was 17? ... so it looks like our typical American forgetfulness regarding our neighbours to the north was at play here. I don't think O. Henry meant "North American" rather than "US-an", but even if he did, there are holidays called "Thanksgiving" on other continents.
Also: to my observant Jewish friends celebrating tonight and tomorrow, Canadian or not, may you have a joyous Simchat Torah!