Since I sporadically listen to Christmas music and watch Christmas movies throughout the whole year, I would say Thanksgiving weekend kicks it all off.
After Thanksgiving lunch (with my family) and dinner (with DH's family) and football (Go Cowboys!) we do Christmas crafts. We usually start with ornaments. I buy plain silver, gold, red, green ornaments and glitter glue. We decorate the ornaments in our own "styles". Even my teenage son participates and actually LIKES and looks forward to doing it every year!
Thanksgiving night is also the beginning of 24 hour/day Christmas music!!! We listen exclusively to Christmas music and watching Christmas movies.
Black Friday is a great shopping day (if I dare!) but most importantly for me, the day we go and get our LIVE TREE!!! No matter what....we get our tree this day...do or die!! LOL
We then spend all night decorating, putting up lights, everything Christmas-y!!!
I think that's why Thanksgiving is my second favorite holiday! It leads right into Christmas for me!