To be honest, I find that the only thing those who know me can be thankful for is my humble sense of self-importance and preeminence. More often than not, it's clear that others are often grateful for the chance to merely glimpse at my inherited magnificence.
Personally, though, I'm thankful for the gifts of murderous rage, the perpetual suffering and deterioration of sentient life forms, and the ominous furnace of my wrathful hellfire. When the time of Ragnarok arrives, I'll be content to observe all signs of earthly life end in the wake of my uninhibited crusade of destruction.
As for the foods I'd prefer to eat, that would include toxic reptiles, warm mammalian blood, the corpses of burned felines, the chewy, oily intestines of diseased infants, Spam, the bones and marrow of my dearest friends, and each individual soul that inhabits the mortal domain.
But, since I'll be having family over, I think I'll stick with a turkey dinner this year.