King Cake refers to New Orleans extra-large oval doughnut pastry dusted with colored candied sugar. A plastic baby doll is hidden inside the cake and the lucky person who gets the piece of cake with the doll inside (and doesn't break a tooth or swallow it in the process!) buys the next cake for the next party throughout the Mardi Gras season. Mardi Gras season in New Orleans falls on Fat Tuesday, the day before Lent, the day to celebrate before the traditional Catholic tradition of sacrificing and fasting during the 40 days of Lent.