Unfortunately I can't travel and join the yearly New Orleans festival since I'm broke, have to work, and...am broke. But I can think over books I've read that are set in New Orleans or have that Mardi Gras feel in time for the end of the Mardi Gras festival. We can't all celebrate at the actual events in life, but just to acknowledge they're going on helps us be able to partake in the events too, just a bit. Hey, it's a theory!
Making this list, it crossed my mind I've read very little other than paranormal set in New Orleans. How sad. And nothing really with Mardi Gras.
Speaking of the Paranormal, for of course my mind will go there first since I read so much of it, I can't help but think of the ultra creepy but nifty villain in the second Anita Blake book, The Laughing Corpse. A top, top favorite in the series, the voodoo priestess is one of my favorite literary villains of this form. I'm not sure why exactly - she didn't get tons of page time - but there was something about the sinister little old woman who could pretend to be an everyday grandma like the best of them that just got under my skin.
Really keeps the family and all who know her in terror? Check.
Acts like a grandmother who makes cookies like Carol on the Walking Dead is known for her cookies? Check.
Has creepy mad science projects in the basement? Check
Is so bad-ass and creepy she has the reputation of the top priestess for the entire west coast or whatever? Uber check.

We can't leave out one of the series people think of most - Interview with Vampire. Lestat, Louis and others have made their home in New Orleans amidst flashy clothes and luxury. I haven't read all the books myself, but even I know a little about the story.
Sookie Stackhouse doesn't have a far trip to go from her hometown of Shreveport, Louisiana to venture into New Orleans territory, but she does a few times. While there the author doesn't touch on the culture or anything unique seeming about the city, so it's easy to forget about.