The term "Mardi Gras" is French for "Fat Tuesday." In Spanish it would be Martes Grande. Mardi Gras has been celebrated for hundreds of years in countries throughout the world. The celebration takes place within a few days before today, Fat Tuesday, which is always the Tuesday right before Ash Wednesday.
Ash Wednesday is a holy day in the Catholic Church (and some other religions), the beginning of Lent, 46 days before Easter Sunday. On Ash Wednesday, members of the church go to mass and palm fronds are burned, with the ashes smeared on the foreheads of the church members. Ash Wednesday is the first day of Lent, which is considered a period of repentence. Many Catholics give up something during Lent -- like candy for the children, meat for some adults -- as a sign of repentence for their sins, and sacrifice. Putting ashes on the forehead signifies repentence, a reminder that we will all return to ashes some day.
Remember, O man, that you are dust, and unto dust you shall return. Genesis, 3:19
The days (and sometimes weeks) leading up to Ash Wednesday are celebrated in many countries, and notably in New Orleans, Lousiana, with a city-wide carnival, people dressing up in costumes and partying through the nights, parading through the streets, enjoying their last days of celebration before the 46-day period of Lent.
"Jolie Blon," sometimes called the Cajun National Anthem: