Joined Sep 2008
Status: hardcore chartist
From my recollection of trading them for the thin-volume volatility (losing horribly, stupidly keeping with it), the Monday through Friday of Thanksgiving Week rehashes the top-ten-%-gainers/losers of US stocks with a bias toward the most recent and the biggest-run ones. Christmas is the same over two weeks, leading into the 3rd of January in 2011 as the first normal business day.
The two holidays' tempo is different, the former some kind of hyper-volatility test and the latter a warmup for the next year.
Forex may roughly follow this, except that it trades on holidays.