What do you do on Mardi Gras?

That depends... If you mean Mardi Gras as a party holiday and not a day of 'religious' significance, then you probably party hard, joining street fairs, Carnival celebrations, etc.

New Orleans is famous for its Mardi Gras party scene. For instance: the beads. If you give a beaded necklace to a girl, traditionally she flashes you and might imply sex.