Are there any special events for Halloween, Thanksgiving and Christmas in Japan?

Yes and No. Halloween, for commercial reasons, has become "popular" among Japnese people, but they don't really know what to do or even when it is! Even at supermarkets or 100-yen stores, you can find many kinds of Halloween ornaments, but unless you go to Roppongi or some place where many foreigners (mainly Americans) gather, you don't find Halloween costume parades or parties (for adults).

Thanksgiving is not celebrated in Japan. There is a national holiday called "Thanksgiving Day" (Kinro Kansha no Hi), but it literally means "Thanksgiving for workers" or I'd say, "Thanks goodness I have a job." (in this economy!)

Christmas lights and ornaments are big here, but people just exchange gifts and have "gatherings" (they call them parties...) at home, restaurants and Izakaya, etc. Many Japanese families don't even "celebrate" Christmas. It's a day of eating Kentucky Fried Chicken or pizza and strawberry shortcake. No turkeys (you can find a bunch of them on the streets! Oops... different turkeys...), no stuffing, UNLESS you have a big enough oven to roast one at home. Some hotels and restaurants in Tokyo and Osaka offer turkey dinners, so check them out on the Internet.

Stores are open on Christmas Day (as usual) and there are a lot of places with pretty Christmas lights. I recommend walking around Shiodome (near Shinbashi) or Omote Sando, if you're in Tokyo, or the main street in Kobe.