HubburdsCupboard has a link list of printable pilgrim activities plus some great Thanksgiving links. There is some great information that can be used to create a pilgrim lesson plan and quite a few crafts. This isn't a site devoted just printables but it is a nice resource.
If you are looking for printable craft activities AllFreeCrafts has another great link list of printable pilgrim craft projects. My only qualm with this site is that some of the links are out of date, but then again, no one is perfect.
I like this printable worksheet of pilgrim names from Scholastic. I find the practice of naming children after virtues interesting as it seems to wax and wane from one generation to the next. This printable pilgrim hat math worksheet from TeacherVision is nicely illustrated and these pilgrim ABC cards from KidsCrafts (Suite 101) are pretty too.
I really love how comprehensive Enchanted Learning's printable offers are. They have a great Thanksgiving printables selection, but they do charge a 20$ yearly fee. That's not much, and I'm still mulling over wether or not I should subscribe. The only problem would be that I couldn't post any of the materials here without my readers having to subscribe. :( And that kind of defeats the purpose of FREE Printable Fun. If I ever do subscribe I'll make sure to give you folks review of their website.
I know I've mentioned Making Friends paper dolls before, but incase you haven't seen their site, they have a lot of cute printable paper dolls including these great pilgrim paper dolls, Thanksgiving paper dolls, and Native American paper dolls. Make sure you check out their Friends Across America program which is an interesting (and ADORABLE) twist on the traditional pen pal idea. This will make an awesome winter-long project for everyone in your household and Thanksgiving is an awesome time to start.
There are a ba-zillion Thanksgiving coloring pages out there. You don't need my help finding them. However, I do want to point out this little set from Funschool because I think they are extra special. I especially love the Mayflower and hand turkey. What does that have to do with pilgrims? Nothing!
That's enough about pilgrims. Pilgrims weren't the first people to settle in the US, they were just the most popular. Jamestown has an interesting settlement history too. There aren't many Jamestown printables about, but there are some good printable books from HistoryIsFun about the Jamestown settlers and the conditions in which they lived. You can find a some more information (though no printables) at Jamestown400 which I found by downloading this minesweeper style game about Jamestown called Dig The Fort.