Mardi Gras is the last bash or feast before Lent begins on Ash Wednesday. It is the last time to have a good time before the season of penance (Lent) begins, with fasts, reflections, etc. Lent is a time to reflect on one's Christian walk, to repent of those things that are sinful or hurtful, to pray with God's help to do better, and to plan for one's future spiritual walk. Lent lasts for 40 days (not counting Sundays) and ends with Easter, celebration of the Resurrection.
The king cake Lily mentions is a large donut-shaped coffee cake that is served at parties and special occasions in Louisiana, particularly New Orleans. It is also called Epiphany cake because it celebrates the visit of the Wise Men to the baby, Jesus, in Bethlehem, and celebrates Christ's coming to the whole world.
The king cake contains in small doll in it somewhere, which represents the baby, Jesus. The person getting the piece with the doll gives the next party. This goes on from Epiphany (Jan. 6) and ends with Mardi Gras.
Probably more than you ever wanted to know, but there it is. Don