In Miracle on 34th Street, the parade scenes were shot on location during the 1946 Macy's Thanksgiving Day Parade, which meant they only got one morning to film everything.
Maureen O'Hara wrote in her autobiography that Edmund Gwenn, who won an Oscar for playing Kris Kringle in the movie, actually played Santa in the 1946 Macy's Thanksgiving Day Parade, because that was the only way they'd be able to get the necessary shots for the movie.