Reb Moshe has answered the question regarding Thanksgiving. Since it is a
holiday of religious origin, one may not celebrate it. He even says one
should not schedule a wedding or Bar Mitzvah for that day. The same should
apply to any holiday that has religious origin, (x-mas, etc.) The 4th of
July just celebrates the founding of the US and may be celebrated. For all
of us who do enjoy the freedom from persecution that America has provided
us - some sort of recognition of this, I feel, is in order. As for the other
legal holidays, hey let's just enjoy the day off.