When recipes call for you to cook an item in a pan without first adding oil, they say to toast it to indicate that you are applying dry heat to it. For example, most Indian recipes call for toasting whole spices in a dry pan before grinding. That is also why you can toast marshmallows over an open flame.
Either pumpkin pie or apple pie are my favorites!
Thanksgiving is for pies in my family, any other desserts wait until Christmas.