The first first Thanksgiving, the one the Pilgrims celebrated in 1621, marked a milestone: their first year in America. Milestones have been an important part of Thanksgiving ever since. They can be happy ones: The first Thanksgiving with the new baby. They can be sad ones: The first Thanksgiving without a grandparent. They can be exciting ones, ones that celebrate the beginning of a new chapter or a new era — just like that original Pilgrim Thanksgiving, four centuries ago.