Well all over the blogosphere you can find amazing examples of very cute and crafty thankful trees. (Here's just a sampling.) The idea is basically the same: to write down things you are thankful for.
We are using ours as a kind of countdown calendar to Thanksgiving, putting up a leaf a day. But since we started ours a few days late we played catch up by doing a few extra leaves the first few days. (Most of the leaves are paint chips from Home Depot that were already cut in the shape of leaves!)