i've been to this celebration twice (in 1999 and 2000), it's definitely worth stopping by near the end when they get to the altars in garfield park. remember to bring a candle and matches or a lighter.
bring a camera if you please, it's amazing, but please...
participate -- wear something for the event -- white face paint, a mask, a veil -- something to be part of the event and not just a gawker at it.
rule of thumb for parades and rituals: more magical if most are participants (some of them recording and observing) and fewer attend as if detached or cynical witnesses. i think somebody's said that more poetically and succinctly but i can't remember the quote!
I'd recommend everyone to read Octavio Paz's "The Labyrinth of Solitude" if they want to gain a deeper understanding not of the rituals of Dia de los Muertos but of its meaning and significance. A short excerpt:
"...Another factor is that death revenges us against life, strips it of all its vanities and pretensions and converts it into what it really is: a few neat bones and a dreadful grimace. In a closed world where everything is death, only death has value. But our affirmation is negative. Sugar-candy skulls, and tissue-paper skulls and skeletons strung with fireworks...our popular images always poke fun at life, affirming the nothingness and insignificance of human existence. We decorate our houses with death's heads, we eat bread in the shape of bones...we love the songs and stories in which Death laughs and cracks jokes, but all this boastful familiarity does not rid us of the question we all ask. What is death? We have not thought up a new answer."
Dia de los Muertos is influenced by La Danse Macabre. As such this photo of a ballet in El Paso Texas is among its truest interpretations: