The First Amendment to the Constitution is often cited to mean all sorts of things. It is a lengthy sentence, but just a sentence:
“Congress shall make no law respecting an establishment of religion, or prohibiting the free exercise thereof; or abridging the freedom of speech, or of the press; or the right of the people peaceably to assemble, and to petition the Government for a redress of grievances.”
The first clause, up to the first comma, makes a simple sentence: Congress (and by extension any other government body) can make no law regarding the establishment of religion. Nothing for any given religion, nothing against any religion: no law.
The second clause, up to the semicolon, causes massive confusion: or prohibiting the free exercise thereof. OK, the government can’t write a law preventing the free exercise of religion. This is often cheerfully misunderstood by groups that claim Congress (or the Courts) have “banned” Christianity from schools. No — the Courts have held that the first clause still applies: if a school district sets aside a time of prayer, they are, in fact, acting as a government body to regulate religion, which is banned by that very simple first clause. The free exercise of religion requires no law; any student is free to pray any time they feel like it, most often before tests.
The rest of the sentence is very important, but not to the current wave of political rhetoric that complains about religion being taken out of Christmas, or Thanksgiving, or schools, or political gatherings. There is no law requiring you to recite the Pledge of Allegiance and include the clause mentioning “under God” which was added to the Pledge in 1954. Francis Bellamy, who wrote the Pledge in 1892, was a Christian Socialist and didn’t think it necessary).
There is no particular religious connotation to Thanksgiving; yes, the Pilgrims were thankful that the Indians didn’t let them starve, but there is no requirement to celebrate Indian animist beliefs. There is no attempt to take religion out of Christmas; it is an overtly religious holiday, and the government neither tries to add anything religious to it or take anything religious away from it.
Before you advocate prayer in school, give some thought to what the First Amendment means, and the implications of changing it.