DO respect any barricades, ropes, etc. Barricades and ropes put up by the city are a clear line that shouldn't be crossed. It's one of those things that's just unacceptable. You may end up getting in a hassle with a cop, or worse yet, with the chaperone of a high school band whose daughter is one of the cheerleaders coming down the street. DON'T try to pick up anything in the street when a float is coming.
Floats are big.
They'll hurt you if one rolls over you. If you've had a couple of beers, your reaction time isn't what it is normally. You may think you have enough time to grab that doubloon before the float gets here, but it's closer than you think. Hardly a year goes by where there isn't one person hospitalized because they were hit by or rolled over by a float. Kids love parades.