King Cakes are as deeply entwined with the traditions of New Orleans and Mardi Gras as parades, Bourbon Street, and jambalaya. The city of New Orleans is the proud host of the popular Mardi Gras Festival, and celebrants consider a Mardi Gras King Cake a necessity. These unique delicacies are so coveted that people throughout the country order them from their favorite bakery or bake one for their family and friends.