I am thankful to be living in a place where, ostensibly at least, my rights to life, liberty and the pursuit of happiness are considered inalienable.
And at least I can point to a piece of paper and a common culture that says that's so.
Even more important perhaps is the tradition that we are born with these rights - they are not handed down by some beneficent leader and, in fact, we are said to have authority over our rulers themselves. They are "public servants," servants of "the public," although therein lies the rub for someone who postulates there are no masses.
I am thankful in any case for a roof over my head, to love and be loved by a beautiful partner, for a Creator who only makes good stuff, and for a belly full of nutritious food.