Well, I don't know about the webcast complete with commentary (the exact thing you see on TV), but you can find a streaming webcam, with multiple angles at: http://www.earthcam.com/features/thanksgiving/2004/
The Macy's Parade is significant not only because of the tradition (like the ball dropping in Times Square on New Year's) but also because it's such a spectacular event. Every year more and more money gets thrown into creating bigger and bigger floats, balloons, etc. It seems though to be more of a marketing thing now than it ever has been. Companies pay a lot of money to "advertise" through floats and balloons, knowing that millions of people are watching it on television while they're eating their Thanksgiving meal.