As far as thanksgiving favors go no thanksgiving party is complete the favors and that you be need to doubly sure that you are ready with the favors when the party ends.
Now if you have kids in the party then you need two different set of favors one for the kids and the other for the adults.
A lot of time the edible leftovers are treated as favors but they are not really the real thing and they are more of the leftovers.
As far thanksgiving favors for kids go get some good candy bars and chocolates and wrap them with personalized labels or gift wrappers or even the candy bar wrappers. Put these candies in a good bag and hand them over to kids.
You can give thanksgiving scrapbooks to the kids or even the small pilgrim or Native American miniature sized inflatables. They will love those as these are very much in line with what they have been doing as thanksgiving activities and crafts.
For the adults the thanksgiving favors can be varied and it really depends on the budget that you have. If you are planning to give expensive gifts then go for some personalized and custom made thanksgiving theme miniature wine bottles.
Other wise some of the ideas that you can use are scented candles with vanilla other scents.
Monogrammed thanks you notes are the best for any kid of favor.
For each guest you have the small turkey table display items which will look very good or you can have small pumpkin shaped flower vases with a bunch of flowers on top.
The other favors can be the set of napkin rings with a theme of custom made or table mats or even the place holders with a theme.
The best of the lot is that you personalize the favors for each guest and it will take some effort but you can take a photograph of each of the guest before the thanksgiving dinner and give then a thanksgiving based photo frame with their photograph in it or do three page scrapbook of the guest family and friends with the thank you notes.