In my opinion, you havent experienced New Orleans food until you've a proper one of these babies. If you're not covered in gravy by the end of it, you're doing it wrong.
My favorite places to get these: Parkway Tavern and Bakery
(It's in Metairie, 5 minutes outside the city).
I'm in Austin, TX for school right now and it is killing me to be away from these things. Add swish cheese too.