For Christmas dinner of 2006, I put all the pine cones in my parent's yard to use, and used them for the place cards. (It even gave the grand kids an assignment, they collected them from the yard!) They would be great for Thanksgiving as well. If you have colored plates, I think they would look cool spray painted white. You could even spray paint them any color if you have white plates.
You could put the place card in the pine cone a few different ways. You can place it towards the end of the pine cone as shown in the pictures above, but you could also use the natural diagonal growth of the pine cone like the picture below.
Make sure you have clean pine cones (you can rinse the ones from your yard ahead of time) to use on the plates, or your guests will be wiping dirt off their plate before filling it with food. If you don't have store bought pine cones (those tend to be cleaner....), then just set them above the plates somewhere. I usually put place cards above the fork, to the left of your plate, since your glass should be above the knife to the right of your plate.
Just be careful... In 2006 we had place card elves (er... older brothers) that switched up all the place cards... my dad's place card ended up at the kiddie table.
Another simple place card idea is to do the tiny pumpkins at each place setting. I did this for a fall dinner in 2006. The pumpkins were also the favors. Wal Mart has bundles of tiny pumpkins in all assorted colors - my favorite!!