When was the first Macy's Parade?
The first Macy's Thanksgiving Day Parade took place in Manhattan in 1924. Helium baloons were added in 1928, and the Mickey Mouse balloon first appeared in 1934. The parade has become an annual institution, taking place every year since its inception except for 1942-1944. During those three years, rubber was needed for the war effort, and Macy's donated its balloons.
For more information, see the official site of Macy's Thanksgiving Day Parade.