Mardi Gras, Fat Tuesday, Ash Wednesday, and Lent

I come from a Christian tradition who doesn't necessarily celebrate the Lent. Therefore the whole Mardi Gras-Ash Wednesday thing is foreign to me. It wasn't until my high school years that I became familiar with it due to my friends from other Christian denominations began to celebrate it.
The concept of it seems strange to me. Mardi Gras is the last day before Lent, and therefore is a excuse to get wasted, females to flash their breasts, and other things that traditionally would be regarded as terribly sinful. And then Ash Wednesday comes and suddenly we all become religious and give up chocolate or coffee, or whatever in anticipation for the celebration for Easter.
It just seems weird to me. Jesus died for the world's sins, therefore in honor of him, we give up Cheetos for 40 days? I'm of the belief that we should live holy lives throughout out lives, and not just 40 days before Easter. Yet part of me says that if it helps someone grow closer to God, then it probably is a good thing.
Please don't take this post as me trying to discount someone's religious tradition. I guess I'm looking to try to understand the concept better.