New Delhi, Feb. 25 -- Denmark has a cake for every season - and reason - but no baked delight is awaited with as much anticipation as the indulgent Danish pastry made for Fastelavn.

The fastelavnsboller, a doughy bun with a sweet filing, is the taste of Fastelavn, a Danish holiday that, like Mardi Gras, has close ties to the Christian religious observance of Lent.

Lent, a six-week period of fasting, begins in mid-February and continues for 40 days till the celebration of Easter in April. But before the fasting comes the feasting. In Denmark, Fastelavn (pronounced fest-e-laun), is the name of the festival as well as a ritual-based feast to prepare for this period of abstinence.

Copenhagen-based food historian Nina Bauer says Fastelavn i...