i'm from new orleans.

its crap for cycling. roads are terrible, and drivers aren't afraid to run you off the road. dont even try vehicular cycling or anything like that. only real place to semi-ride is on the levee (like mattc and evannyc said). there are some good but short trails near baton rouge (the lakes!) and in mississippi though.
where will you live?
adam's bike shop near tulane is definitely one of the best around; i'm not a fan of gno. they have a schwinn store in metairie too.
always wear sunscreen.
and you should maybe pm rainman and nolageek because they both live there and can give you good tips because they actually live there AND ride.