Most holidays have some their ties to a certain religious function; key word being most.
Mardis Gras is French for 'Fat Tuesday'. Called so because in certain faiths, the next forty days after are meant to be spent fasting giving up something you love as a means of self improvement.
For Mardis Gras, the idea is you enjoy whatever it is you're giving up, so as to get it out of your system.
Of course, I don't think many observe the fasting part of this, just the idea of getting drunk and all that ensues.