It's a long-standing tradition dating back to the earliest days of the country. In those days, people would travel by horse and buggy or on foot, so getting an early start was necessary in order to reach their destination by nightfall. Plus, most Americans were farmers who had to get up early anyway to tend to the animals and work in the fields. Nowadays, we have cars and planes that can get us places much faster, but the tradition of an early Thanksgiving feast remains.
Some say it's because we want to get a jump on Black Friday shopping (though that seems more like a recent phenomena). Others say it's because we want to watch football games or parades before sitting down to our big meal. Whatever the reason, many Americans continue to eat their Thanksgiving dinner earlier than most other countries' traditional holiday meals.