I love that The Landing of the Pilgrims gives a great amount of background and detail to better understand their motivations and what they went through to get to America. I'm thinking it's about 6th grade level, but we use it as a read aloud.
I absolutely love the book by Eric Metaxas Squanto and the Miracle of Thanksgiving. It tells how God took something evil and (through His providence) brought Squanto to the Pilgrims to help them survive.
We have several other books that are greatly enjoyed as well. They range from educational to devotional and even just plane silly. The educational ones are The Pilgrims' First Thanksgiving, A Light Kindled; The Story of Priscilla Mullins, and Three Young Pilgrims. This book is new to us and I'm looking forward to going through it with the kids...Thanksgiving; A Time To Remember. For myself I like to pull out Choosing Gratitude every year; I seem to need it. ;) The Night Before Thanksgiving is just a fun one that sweetly captures the feeling of excitement as family gathers to celebrate.