I hope you will have a wonderful time!
The first pride parade I ever went to was the one in NYC. It was tremendous. It did spoil every gay pride parade I've since attended in smaller cities though, because those smaller ones simply don't compare in size, elaborateness, whatever.
Advice? gee, not really. Well - avoid driving in the city. Wear comfortable shoes. Have an awesome time!
I just attended my first gay pride parade and festival in Phoenix 2 days ago - scroll down a bit on the main forum to read about it.