Roasting and Grilling are the most popular methods of preperation for a leg of lamb, or roast.
Personally I think the key to great lamb is to keep it simple and I like a nice
Garlic-Roasted Leg of Lamb, which I found a pretty decent video which helps if you've never prepared lamb before.
A tip to keep in mind when roasting lamb to keep the surface from drying out,
"Roasting at moderate heat maximizes juiciness and minimizes shrinkage. Leg roasts are often cooked this way.
An alternative method for roasting lamb is to begin with a temperature of 425ºF - 450ºF for an initial 10 - 15 minutes to brown the meat and then continue cooking at 325ºF to the desired doneness."
Medium rare is my choice, but each to their own on doneness.
The Couccous side is excellent too.

http://video.pbs.org/video/1448531153/

If you prefer a grilled Lamb Roast heres a very tasty Mediterranean style which is easy and a sure guest pleaser.
This is a recipe that I do quite often and its Great!

http://www.youtube.com/watch?v=4egJegvR_Xs

I love lamb and eat it often.
Keeping the cooking process simple is in my opinion the key to preparing lamb that melts in your mouth and gives the best kudos to the chef.
BBQ lamb is great as well but I think either of the two recipes I've suggested would best suit the Thanksgiving spread.
As far as a traditional Thanksgiving Lamb recipe goes...well I believe we make our own traditions, so go for it and create a Traditional Lamb Roast that your guests will be all smiles over.
If your serving wine with your lamb and want something abit unusual that pairs fantastic with a lamb roast, I would suggest a spanish Priorat.
Mas Igneus and Palacios' Les Terrasses are two fairly widely distributed Priorats and reasonably priced.
You wouldn't be dissappointed with either.

Bon Appétit!

Lamb is definitely one of my all time favorite types of meat. When lamb is done well, there is nothing like it. Unfortunately, lamb has an extremely strong flavor and if not prepared right, then can be a potential disaster. Don't worry though, you will do fantastic. Lamb is a red meat and I have found that port is a fantastic marinade that goes very well with it.
Here is a recipe from Epicurious: http://www.epicurious.com/recipes/food/views/Herb-Coated-Lamb-with-Port-Red-Wine-Sauce-4576. The recipe is called "Herb-Coated Lamb with Port-Red Wine Sauce." The ingredients that you will need are:

For Lamb:

2 ounces crustless brioche or egg bread, cut into 1-inch pieces (about 2 cups packed)
1 cup (packed) coarsely chopped fresh parsley
2 teaspoons chopped fresh rosemary
1 teaspoon chopped fresh thyme
2 1 1/4-pound racks of lamb, fat trimmed
2 tablespoons vegetable oil
6 tablespoons Dijon mustard

For Sauce:
1 1/2 cups dry red wine
3/4 cup tawny Port
9 tablespoons butter, cut into pieces

Preparation:
I always start with the primary dish first. So, we are going to begin with the prep work for the lamb. Make sure you preheat the oven to 350°F. Then, grab a baking sheet and bake the bread for 5 minutes. In a processor, blend the herbs and bread. Now, place that aside and let's preheat the oven to 425°F. Lightly dust the lamb with salt and pepper. We want to give the lamb a nice brown color. This is done by cooking it lightly in oil and a skillet on high heat. After 10 minutes, then, move the lamb over to the baking pan. The lamb should bake for about 20 minutes and brush mustard on the lamb, after 10 minutes of cooling. Next, coat the lamb with breadcrumbs and roast the lamb for another 3-5 minutes.

Now, let's make the sauce for our delicious lamb. In a large saucepan, boil the port for 25 minutes and mix in butter. Add salt and pepper and now, you are ready to serve this delicious dish!
Happy Thanksgiving.

Lamb is inappropriate for Thanksgiving for three reasons. It is not a native food originating in America. Lamb is a Spring tradition, as lambs are slaughtered in the Spring not Fall. Lastly, Turkey has been the national tradition since shortly after President Lincoln made it a national holiday (vs regional). The tradition of a Presidential Thanksgiving Turkey was was begun by President Grant and kept up ever since.

To make my answer helpful, despite my complaints, here is a recipe from a lamb producer that attempts to be Thanksgivingish by adding cranberries:

"Holiday Glazed Leg of Lamb Recipe
6 - 8 Servings
Ingredients

1 boneless leg of lamb (4 - 6 pounds)
1 12 oz. package fresh cranberries
1 cup granulated sugar
1 teaspoon port wine
1½ teaspoons fresh ginger, grated
Preparation

Combine cranberries, sugar and wine in a saucepan, bring to a boil and cook for 5 minutes. Remove from the heat and stir in the ginger. Set aside.

Place lamb on rack in shallow roasting pan, roast uncovered for 30 minutes at 325 degrees. Coat lamb evenly with cranberry glaze and return to the oven. Baste the leg occasionally with the remaining glaze. Continue to roast until desired doneness. Approximately 25 - 30 minutes per pound or until meat thermometer registers 145 degrees for medium rare. Let stand 10 minutes before carving. "

Here are a bunch of great lamb recipes, you can cook a leg of lamb a variety of ways, choose one that sounds good to you! http://www.gourmet-living.com/category.html?category=lamb