The confection in the illustration is called a "King cake," and it is a staple of the celebration.
There is a small plastic "baby" (formerly a bean) baked into the cake. If you get the baby in your slice, YOU have to have the next King cake party.
In the old (medieval) days, when only the MEN of a village ate the cake, he who got the "bean" (the "baby") was privileged for the next month to partake of ALL the pleasures the place afforded--the women, the food, the booze, everything--but was destined to be killed at the end of the time.
Tom Robbins explained it all in "Jitterbug Perfume."
Any of my Burque buddies wanna get King Cake and Cafe au lait next Tuesday morning? The ABC Bakery on San Pedro makes 'em...
Laissez le bon Temps roullez!