I know (from a friend who attends) that the Maimonides, the school founded by R' Soloveitchik, observes Thanksgiving. Did the Rav, or any other notable American Rabbanim, observe Thanksgiving?
I heard from Rabbi Aharon rakkeffet that rav yoshe ber did celebrate thanksgiving. He also mentions this in an interview:
You have an interesting story about Rav Soloveitchik concerning Thanksgiving. Can you share it?
The Rav used to come in from Boston Tuesday morning, said shiur at 1:00 in the afternoon, and then again at 10:00 Wednesday morning. One year he couldn’t come in Tuesday because of a wedding in Boston, so he came in Wednesday. After he finished shiur on Wednesday, he looked at his watch and said, “Tomorrow, we’ll say the shiur at 9:00, will you be here?” I said, “Rebbe, we’ll be there, but why so early?”
So the Rav looked at me: “Arnold, don’t you understand? Tomorrow’s Thanksgiving. We have Thanksgiving dinner with my sister, and I promised my wife we’ll be there at 2:00. So I have to catch the 12:00 plane.”
I had never celebrated Thanksgiving. I was a kana’i like most kids. When I came home and told my mother the story, she was in ecstasy. She said to me, “Why can’t you be modern like Rav Soloveitchik?
According to this answer, the Rav did celebrate Thanksgiving.
Rabbi Joseph Dov Soloveichik was noted as moving his lecture earlier on Thanksgiving morning so he could catch the plane back to Boston for Thanksgiving dinner at his sister's house.
Is one allowed to have a Thanksgiving Meal? is also relevant. From Alex's answer there:
In a nutshell: R' Moshe Feinstein and R' J.B. Soloveitchik seem to have little or no problem with such a meal, while R' Yitzchak Hutner (all three zt"l) argues that it is prohibited as a gentile custom.