Christmas is the actual day of December 25th, but is also used to refer to the whole season (along with "the holiday season"), which includes Thanksgiving, though that's not the focus. People will say "I can't til Christmas!" they don't usually say "I can't wait til Thanksgiving!" Thanksgiving is a great holiday that's not really thought of until it actually happens, and that's when people think to themselves "Wow, I really love Thanksgiving!"
So, both are appreciated, but Christmas is more thought of. There are no big decorations for Thanksgiving, but once it's over (often, before it's over) Christmas decorations in shopping centers are put up and they'll stay until after New Year's.