I'm thinking of cooking (maybe smoking) one for Thanksgiving. What about store-bought duck?

Generally, no they are not in my experience.

I cooked a wild duck at a job I had once, and it was far more greasy then the duck we got from the top notch duck farms.

If you are going to smoke one, set up a drip pan, and made a few  x shaped score marks in along the skin that goes down to the meat. Put a few along each breast, leg and and the bottom. This will allow the fat to drip away, and still leave enough to keep the meat tender.(and make the skin a little more crispy)

If you are are going to roast one, make the score marks, then get a pan VERY hot and put just a little oil in. Set the duck in and sear it-the fat will run out a bit, and you will brown the skin nicely. Repeat for the whole duck.
Stick it in the oven till it's done-I prefer my duck more mediumish..soo to your tastes.

Plus...you can pour almost all that fat out of the pan, and you will have a nice pan to start sauce in!
Leave a little fat in and saute some onions, garlic, mushrooms, thyme and shallots in thepan...then hit with half a bottle of red wine or so.(watch your face! the wine can flame a bit) If you happen to have some chicken stock..add some of that too.
And ...I know this sounds odd..but put about 1 teaspoon of unsweetened cocoa powder in. It adds alittle extra depth!
Boil it down about half way, add some butter, salt and pepper...

Yah..it's not low fat..but it's good!

My experience has always been that fowl bought in a store or shot while hunting is always far leaner that those you raise yourself.  The feed for store-bought ones is mixed to make them grow fast, but not to put on a lot of fat.  Don't worry about them being too greasy.  Ducks/geese raised on a farm won't necessarily have a lot of fat if they are left to forage and swim all day.  The trick is to keep them penned up with little room to walk around and they need to be fed at least twice daily.  I like making Peking Duck and it only works well with a fat duck.