This is a King Cake.  Everyone and their mama eats a King Cake during the carnival season.
 
Read about the history here.
 
Order one from Gambino’s Bakery.
A tradition of the King Cake is that the bakery secretly hides a small plastic baby somewhere in the cake.  When the King Cake is cut-up and served, whomever receives the piece with the baby must purchase the next King Cake for everyone.
 
If someone has never tried King Cake before and is unfamiliar with its hidden newborn custom, a local New Orleanian must warn them “Don’t Eat The Baby.”