There is a parade, and a band concert with all the parade's participating bands, and drum & bugle corps. I missed the parade (first one in years I've missed. grrrrr). Of course the waterfront and Plimoth Plantation are mobbed. Many local restaurants hold special dinners as well.
They hold special dinners at Plimoth Plantation for the holidays, in which you can either eat like a Pilgrim or follow a more Victorian menu.
And yep, the Native Americans hold their Day of Mourning, going up to the statue of Massasoit and protesting what they consider the "European invasion". It really angers a lot of the tourists, but some people have to realize that not everyone has the same opinions about the outcomes of our shared history.
I have to say that working at Plimoth Plantation for many years has really opened my eyes to the different cultural views of things so many of us hold sacred. And while I celebrate Thanksgiving (in my own secular way) with my family, I do realize that there are those who see no reason to honor the day in the same way as my Pilgrim-descendant family.
That being said, I hope everyone had a wonderful and meaningful celebration with those they love!