I love holidays!
My family is local and my husband's is halfway across the country (and they don't make as big a fuss over holidays as we do, anyway). So more or less by default, we use my family traditions.
For Thanksgiving I have started hosting. We polish the silver and put out the good china and do a big turkey dinner with all the trimmings, and my parents eat with us. For a few years my in-laws have flown out and visited over T-day weekend, but last year they didn't feel well enough to travel and they just cancelled for this year too.

I'm pretty sad about it; they rarely get to see their granddaughter. DD helps to make the pumpkin pie, that's her big part of the ritual. This year I'd like to do some kind of activity around being thankful and add that to our celebration.
christmas -- we have a tree and stockings by the fireplace, and DD cuts out paper snowflakes. We've tried to take her to sing-along Messiah, but as of last year she couldn't have been less interested. We have Christmas Eve at Grandma and Grandpa's house -- sometimes her cousins are there, sometimes not. We sing christmas carols in the weeks beforehand and read Christmas books --the Jan Brett ones are beautiful, also we have Margaret Wise Brown's "Pussycat's Christmas" and an Eloise Christmas book (which I don't love that much, Eloise tends to depress me). And of course DD helps bake and decorate cookies.
Every year I cross-stitch her a new Xmas tree ornament, so she'll have a collection when she's old enough to have her own tree in her own home.