Because I am not routinely a donut person, when Shrove Tuesday / Mardi Gras / Fastnacht Day / Pancake Night comes around, I tend to splurge a little.
When I was growing up, Fastnacht Day was basically an excuse to eat your favorite donut, not necessarily a reason to make a batch of traditional Fastnachts (a particular Pennsylvania Dutch variant) yourself. For completeness sake, I'll include a recipe for Fastnachts, but I have yet to make them myself. This comes from a souvenir book (my copy has no copyright info) still sold in PA, I think, called "Pennsylvania Dutch Cookbook: fine old recipes". Incidentally, the book also contains a scrapple ("ponhaws") recipe that starts with a hog's head, if you happen to have one lying around:
https://www.amazon.com/Pennsylvania-Dutch-Cook-Early-Settlers/dp/B000CMOR1E/ref=sr_1_2?ie=UTF8&qid=1518805824&sr=8-2&keywords=pennsylvania+dutch+cook+book
(WARNING WARNING WARNING THIS RECIPE MAKES FOUR DOZEN DONUTS THIS WILL BE YOUR ONLY WARNING)
FASTNACHTS
1 pkg. active dry yeast
1/4 c. warm water (110-115 degrees F.)
1 tsp. sugar
3 c. sifted flour
2 c. milk, scalded and cooled to lukewarm
3 eggs, well beaten
1/4 c. melted butter
1 c. sugar
1 1/2 tsp. salt
1/2 tsp. ground nutmeg
3 1/2 - 4 c. sifted flour
(The original recipe does not specify how much or what kind of fat to use for frying, so insert deep fat frying vehicle of choice here)
Soften yeast in warm water. Let stand 5 to 10 min. Add 1 tsp. sugar and 3 cups sifted flour to the milk, stirring until smooth. Stir in the yeast. Cover: let rise in a warm place until doubled. Stir in eggs, butter, the remaining sugar, salt, nutmeg and enough flour so that mixture can no longer be stirred with a spoon (a soft dough). Cover: let rise until doubled. Punch down dough and divide into two portions. On a floured surface, roll out each portion until about 1/2 in. thick. Cut dough with a donut cutter. Cover dough and let rise in a warm place until doubled. Fry in deep fat heated to 370 degrees. Fry 3 to 4 min., or until lightly browned. turn doughnuts to brown evenly. Remove from fat: drain.
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There is a kind of donut which I used to buy sometimes in PA which is not always easy to find. Before I discovered places which sold their donuts warm, Country Maid's cream-filled, plain-on-the-outside donuts were my go-to Shrove Tuesday indulgence. It's still not easy, even "living in the future", to find them online (the website looks either hacked or lapsed or something, and the Facebook pages look unattended). I learned in the course of my online search that the bakery is in Bowmansville, called Harting's. There is a website called PA Snacks which offers them in bulk (18 donuts is too many for just me), and I know there are stores in SEPA that sell them.
http://www.pasnacks.com/country-maid-donuts.html
Although I am not motivated to make 4 dozen donuts at a time, I appreciate, and am willing to pay for, a donut which is served while still warm. It's part of the indulgence. For a while, there was a Krispy Kreme bakery on 23rd St. in Manhattan, but alas, that store closed and while the one in Penn Station has perfectly good donuts, they are never hot / warm. However, I know that in other parts of the country, having the "Hot Now" sign lit is still a selling point, and they are memorable when warm.
http://www.krispykreme.com/
I was both horrified and delighted to discover a place underground near Columbus Circle station (a food hall called TurnStyle) which serves tiny, overpriced ($1 each), but warm and delicious donuts, called the Doughnuttery. They also have branches in the Plaza Hotel and Chelsea Market.
They offer a number of flavors, toppings, and dipping sauces. My favorite is plain vanilla glaze. The price is a self-limiting factor that keeps these gems from becoming too regular a temptation. However, it's a fine diversion for Fastnacht Day.
https://www.doughnuttery.com/
Close to the TurnStyle entrance, there's a booth selling macarons, also a few cookies and liege-type waffles. The Red Velvet was, to put it mildly, heaven. I try to keep on the lookout for macarons which are almost worth their high price, and these were the best I've had.
https://bywoops.com/
TurnStyle has a number of other offerings, not just sweet stuff. I had dinner once at their Yong Kang Street branch and it was delightful, would nom again. The TurnStyle website will give you some info about shops and restaurants, for menus and more data you may need to search the stores by name.
https://www.turn-style.com/