Thursdays on First was created by Rochester's planning committee as a way to make people come out of their offices each summer for one day a week, and into actual sunlight.
As Midwesterners, we don't see a lot of sun, so we are more apt to miss the cues (ie, sunshine).
But more importantly, we have a proud tradition of appearing as if we're not enjoying ourselves very much. Thus, we need the proper stimuli to coax us from our fluorescently lit environs and emerge en masse. (Self pity is less effective if people are seen in large groups, purposefully enjoying something tangible.)
The methodology is simple: flood the immediate downtown area with local vendors selling everything from homemade jewelry to homemade scarves. Then add music, sugar, and meat, and you've got 2 blocks of a full-blown, unadulterated nice time.
I don't go often myself, but when I do, it's mostly to take in the smoky aromas of sizzling food, get some vitamin D, and practice my weaving skills.
Unless it's raining.