Nothing beats the O.G., which is Macy’s Thanksgiving Day Parade in NYC, but did you know Illinois is home to the second-biggest and best Thanksgiving Day parade?. What started as a Christmas Caravan to lift the spirits of citizens dealing with The Great Depression in 1394 has turned into one of the best holiday parades in the nation. The Chicago Thanksgiving Day Parade has seen an increase each year of people attending and being in the parade.