I don't know about online vendors, but there aren't any sales on Thanksgiving day. However, on the day right after, Black Friday, people will be getting up at 5am just to rush over to their local Best Buy 40 - like 80% off a lot of nice stuff...a friend of mine is getting a 5:45 wake up call from Target. What a nerd.
Why name it Black Friday? Its the day store sales go into black ink. During the year, most sales are in red ink, or negative sales, but on Black Friday and on for the rest of the year they're in black ink, or positive sales. A little fun fact.