When we lived in Biloxi, there was an entire week in February where we would be out of school. We'd go to the Children's Parade, the Shrimp Festival, and the Family Evening Parade. My parents never dared take us to the regular parades. If you know about Mardi Gras, then you know why. :)
What is Mardi Gras? Mardi Gras means "Fat Tuesday" in French. It is the day before Lent begins (40 days leading up to Easter where you give up something as a "sacrifice" to Christ). They call it Fat Tuesday because you are supposed to go out, eat what you want, do what you want, drink what you want, basically throw caution to the wind before you have to give your "something" up. For example, if I celebrated Lent (I do not), I would give up chocolate for 40 days. On Mardi Gras, I would LOAD myself up on chocolate.
Why is it a big deal to us? Because we love the South. We love the food. And it gives us something to help us hold on to our experiences and memories.