If you had to pick one day out of the year to be in New Orleans, the obvious choice is Fat Tuesday, better known as Mardi Gras Day. That presumes, of course, that you like good music, dancing in the streets, having underwear thrown at you, dressing bizarrely, eating great food and getting falling down drunk with a million other people having just as good a time as you.

If you do, you’ll want to start the day out right by catching the most funky, riled-up parade of all: Zulu. Perhaps the wi...