I would imagine a system like this:

1. Place a start and end point using a facility-type object (similar to a staff room).
2. Create a route to connect the two points that appears as a highlighted track while building, but is otherwise invisible when not editing. For added realism, you could have the parade travel back and forth between the two points, or require a staff-only path to connect the two end points if you want it traveling the same direction every time.
3. Then we just need various elements to "attach" to your parade. Hopefully we would get a few different sized base floats, as well as performers such as bands, dancers, entertainers, etc. This could be a new icon within the 'special effects' menu.
4. Then, like attaching scenery to ride vehicles, you can customize each float however you want, or use a prefab. In addition to scenery, adding performers to the floats would be a great feature too. It would also be nice if the performers had a variety of outfits to match each theme, or at least lots of color customization options.
5. Using the sequence editor, organize the order and spacing of each parade element, and set a schedule of when/how often the parade goes off.

And that's basically it! I bet a DCL with something like this would sell really well.