I don't know why people do it, either.
Most of my holiday shopping is complete before Thanksgiving is ever here, as I try to shop during the entire year and not just during Nov/Dec.
One year I went shopping on Black Friday--it was at my in-laws, in a smaller town/city, and I had two very specific things on my Xmas wish list to pick up that were on sale at a good price--a KitchenAid mixer and a plaything for my child. That's the only time I've ever gone, and I didn't have to go at midnight nor did I have to stand in a long, long line to get what I wanted. My mindset was--I'll go when I want to go, and if the two items I want are sold out--then it wasn't meant for me to have them at this particular time. The store still had both, so I figured they were meant for me. ;)
I, too, agree that Thanksgiving should be a time to relax, enjoy with family or friends, and not bring consumerism into the picture. Do you really, really need to spend your money on stuff? On Friday I'll be working (I work at home) and/or on the computer (like here, answering questions) and my daughter has a friend over for a playdate. Nice and relaxing (alas, my hubby had to work.) I haven't decided yet what I'll do tomorrow, but if I do go shopping, I will try to go to a small shop for Small Business Day and help support the local economy.
I also don't agree with spending hundreds and thousands of dollars at Christmas time. I buy a niece and a nephew presents on my hubby's side; for two neices and two nephews on my side; small present(s) for my mom and dad; small present(s) for my MIL; and some presents for my daughter. My hubby and I don't exchange presents, although my daughter buys present(s) for mom and dad (again, with our money, since she's young; we justify that as buying presents for husband/wife, since it's our money anyway).
This year, I will spend just under $500.00 for some very, very nice presents--and that includes a little something for the dog and cat from Santa as well as a chocolate bar from St Nick for everyone (the dog and cat get one of their treats in their socks). I could do it cheaper if I had some cute ideas for do-it-yourself, homemade gifts, but I just didn't have time this year to make anything.
You don't have to spend tons of money on people; I don't believe you have to buy love or affection or happiness. And, if you do, then maybe you should relook at your priorities in life and figure out where things went wrong.