Get several rolls of pennies and hide them all around the house (the individual pennies, not the whole roll). ;)
Every time somebody in your family finds a penny, they have to share something they're thankful for and then put the penny in the penny jar (just a mason jar or any other jar that you've created for this purpose). You also could have a notebook set out by the penny jar (doesn't have to be fancy, just a spiral notebook will do - remember, perfection is not required for great memories) and have your kiddos write what they're thankful for in the notebook as well. At the end of the month you will have a huge list of things your family members are thankful for (mom and dad should participate too). Keep the journal out and write in it throughout the year, or bring it out every March and repeat this activity every March.You can figure out what you want to do with all the pennies in the jar at the end of the month - maybe use them to help pay for a special family activity, or give them to somebody who needs them more than you do (church offering, shelter, homeless, etc.)
NOTE - You may want to hide pennies throughout the month, a few a day, so you're not done with this activity in one day! ;)
What I love about this - I am constantly trying to teach my kids (and myself) to be a little more appreciative. Talking about what we're thankful for is a great way to do that. I also love the idea of having a family thankfulness journal that I can refer back to in years to come - it will show my child's interests at different ages and will also remind me of some tough times that God has brought us through. ALSO - as a result of this activity, when my boys find pennies on the ground while we're out and about, they will no longer be "lucky" pennies, they will be thankful pennies!