I believe it began as a means of celebrating the first feast between the Native Americans and the Pilgrims who came to the United States in the 1600s. And, yes, it does typically come the day before Black Friday, though I believe that's slowly changing too given how many shops appear to be opening on Thanksgiving for those sales. I'm not entirely certain I'd want to experience what that's like, personally.
POTTERVERSE If anything, it would be an excellent reason for us to get together. I've heard the place down in Florida has their own pumpkin juice -- we might get hold of some.