I actualy do have a Thanksgiving pumpkin on my diningroom table which will be my Thanksgiving decoration. The plain orange lights alwo work pretty good, but Thanksgiving is also my familie's "official" kick-off to the Christmas season, so I don't have any Halloween lights up.
As for simularities, two of them stand out in my mind:
1. Pumpkins. Jack o'lanterns on Halloween, and Pumpkin Pie and pumpkins used as Thanksgiving Decorations.
2. Traditional foods. For Halloween it's TOT candy, and for Thanksgiving it's turkey.
Thanksgiving talk at Thanksgiving.info