Read a good book.
Experiment with a recipe.
Have some wine while experimenting on said recipe.
Go for a walk. Throw bread at the ducks in the pond.
Enjoy your own company.
Never been alone. Although, throughout the years of family gatherings, I sometimes believe I'd like to be. I'd probably cook a decent feast for myself and watch a few movies. I will admit though, that the urge to extend an invite to a friend that was also alone, would be too hard to resist. But they would have to accept and understand, it was going to be relaxed-Pajama type relaxed day! :)
Read, rent some movies, play some music and dance, go to the park and go for a walk, read the newspaper, work on hobbies or projects.
I did it for a couple of years....not fun. But I still made a small thanksgiving meal, and worked the day away. Then talked to my family at night.
Not exactly 'fun' but it got me through it :-)
Watch movies of families having thanksgiving, cry, and wish I had family