Just like the first Carnival parade we saw in Campeche, Carnival parades in Merida are madhouses. People stand 8 deep and you have to be at the parade route over an hour before the parade starts to reserve a reasonable view.
At the parades we viewed, normally participants throw out stuff to the crowds -- most often candy, but also T-shirts and other such stuff. It can take hours to get away from the parade once its over due to all the people.
In Mexico, most cities and towns have carnival parades. There are parades for almost two weeks before the big finale - on Shrove Tuesday I think. As we were in Mexico at the end of February in 2006, we saw kids practicing for the parade in Chetumal, two parades in Campeche (although one was on TV), two parades in Merida (although we left before the second one started), and one in Progreso.
One issue, for the parades in the big cities, if you are not interested in the parade, you have to realize that you will not be able to pass through the parade route during or just before the parade - a total of two hours. We decided we had had enough of parades, and tried to cross the parade street a half hour before the parade, and only because we were lugging our suitcases, did the police let us onto the parade street to cross.
By the way, one of the few times I wish I had my film SLR camera was while taking pictures of the night-time parade; I took many pictures of the parade, but not many came out with my digital compact camera.
On Saturday and Sunday evenings, Mérida comes alive with music -- bands are set up in the streets - in front of restaurants, in the plazas. The bands almost have to play extra loudly to drown out the band in the next block.
All in all it is a great atmosphere, and fun to wander around. The photo I've used was taken at Noche Mexicana - at a park about 10 blocks from the main plaza. It was cool - reminded me of music one traditionally sees in Mexican movies.
During the summer, there is a concert held each Tuesday at the Parque Santiago. Inquire about this at your hotel. I had the opportunity of listening to a Big Band concert. If you're into music and concerts, make sure you pick up a local newspaper to read about the many free or inexpensive cultural and musical shows offer in Merida.
Definitely no.1 Club/ Disco in Merida. You can find here as well local people and tourists.
Dress Code: Casual/Clubbing. Nothing too fancy.