I am thankful that there is Something rather than Nothing. After all, absolute eternal non-existence (no God, no particles, no universe) is the simplest imaginable state of existence (having zero details), so it's quite the mystery why that wasn't the case.
I am thankful that the Big Bang started out at just exactly the right rate, so that the universe didn't end up either collapsing into black holes or expanding too fast for galaxies to form.
I am thankful that the long series of physics coincidences described here came to pass, so that organisms like us humans could be around to enjoy a warm summer day.
I am thankful that we have not yet been destroyed by a wandering rogue planet, nuked by a nearby supernova, destroyed by a Yellowstone Park volcanic eruption, vaporized in a nuclear war, or destroyed by aliens, as described here.
I am thankful that somehow there arose on our planet thinking beings with inner selves, rather than mere philosophical zombies interested only in food, sex, and self-preservation.
I am thankful for the sun, that marvelous thing we all take for granted, but which could not exist (at least in its current form) if any of 5 or 10 cosmic physics dice had rolled ever so slightly different.
I am thankful that I live on a planet of moderate temperatures with plenty of greenery and water, rather than an ice planet, a water planet, an arid planet, a planet with crushing gravity, or a tidally locked planet, as discussed here.
I am thankful that the world has love, beautiful music, and beautiful colors, as very well exemplified in the high-definition youtube.com clip below.
Prize Song from Die Meistersinger von Nurnberg