DD, DW and I made our first Thanksgiving trip this past year ('04). We did Thanksgiving morning at MK with a PS for lunch at LTT (which was fantastic), and then moved over to Epcot for the remainder of the day with a PS for dinner at R&C (8:00 so we could catch Illuminations). MK wasn't overly crowded in the a.m. and we were able to make several rides before lunch, but it looked like it was getting busier as we left for Epcot. Epcot was great. We made all of the major rides at least once and really enjoyed the day. I should point out that all of the park restraunts serve a Thanksgiving menu on Thanksgiving day, so if you make a PS for R&C expecting prime rib on Thanksgiving day, you'll be disapointed ( of course, on the other hand, you can get a traditional Turkey dinner at any of the restraunts).
We did do the Candlelight Processional with a package (LeCellier) and strongly recommend it to everyone. The line for ticket holders with a package started forming an hour before the show and was very long.....the line for non-package ticket holders was dramatically worse and many of those people did not make the show. As for the show itself, it is an absolute must do, very touching, a pure joy, not to be missed.
We also feel that the Osborne Family Lights at Disney Studios is an unbelieveable experience that should not be missed. Also, if time permits, do yourself a favor and tour Downtown Disney, and the Deluxe Resorts (BC, YC, BW, Contemp, GFla, etc.), the Christmas decorations are the best of the best and it's time well spent.
Good luck and Happy Holidays
p.s. Look for the DVD entitled "the Magic of Disney World at Christmas", it's usually available on eBay and covers so many details that I've left out, you'll enjoy it.
