In 1927, as part of its third annual Thanksgiving Day Parade (oddly enough called the "Christmas Day Parade" in its early years), Macy*s asked the creator of Macy*s Christmas windows, Tony Sarg, to design giant balloons to capture the crowd's fancy. Filled with helium, Sarg's first designs --- Felix The Cat, a dragon, an elephant, and a toy soldier --- were a huge success, and the balloons became the signature pieces of the parade. The initial parades also featured live circus animals.
Sarg's original balloons were released into the sky at the parade's end, and startled everyone when they exploded over Manhattan. Sarg and his assistants had forgotten that helium expands at high altitudes.