In the first Thanksgiving proclamation, George Washington established November 26, 1798 as a day dedicated "to service of that great and glorious Being who is the beneficent author of all the good that was, that is, or that will be." Read the full text of the proclamation here. Every president since has issued a similar proclamation -- expect for Andrew Jackson, Zachary Taylor, and, most notably, Thomas Jefferson.
In 1802, President Jefferson wrote a letter to a Baptist church in Danbury, Connecticut, in thanks for their praise of him as the newly-elected president. He also used the letter to explain his reasons for not issuing a proclamation of thanksgiving and prayer:
This letter has become an important and, some say, revealing document from which the phrase, "a wall of separation between church and state" originates. This letter has been cited at least five times by members of the Supreme Court to support the Establishment Clause of the U.S. Constitution. Some argue that, because this letter was penned many years after the Bill of Rights was written, it is not a good indicator of the intentions of that document's authors. Others feel that, as author of the Declaration of Independence, Jefferson certainly played an important role in the formation of the country, and his opinions, at whatever time, should be considered. Either way, Jefferson's description of the separatist wall endures as a metaphor for church-state relations.
For more history, go to A Wall of Separation, presented by the Library of Congress. Here, you can link to the text of the Danbury letter and view the original document.