Something that I'd thought about doing but never did is a votive cup with a clear address type label that says "---- (your name here) Family Thanksgiving 2008" or whatever else you might come up with. You can get the clear votive cups at Wal-Mart for about 50 cents each, and I"m sure any office supply type store would have the clear labels that you could print off of your computer. You just put the sticker on and then tie a little ribbon around the candle. Yankee Candle does this, and it's really cute. I think you could do it cheaper than they offer it.
This last Christmas I did something similar with my Sunday School class to give their moms. I used the candle and votive cup, cut a piece of clear (white) vellum to fit around it and used double sided tape to stick it on, then put a beaded "bracelet" around it. I just cut a piece of elastic thread and strung some beads on it and slipped it on.
Just a few little thoughts. By the way...I found votive cups at Dollar Tree that already had candles in it, they were 4 to a pack for $1!!
Here's another thought that just came to me...if you have a printer that does good pictures and a digital camera, take a group picture and print everyone out a copy to take home. You could even make a sign that says "----(your name here) Family Thanksgiving 2008. We took a picture last year, all 40 or so of us! My cousin had copies made for each family...it's quite a picture. I think I'll make a sign or banner with the name and date on it for this year, and I'm making a note in my Thanksgiving notebook to do the same thing with DH's side of the family when they come here!