Rome’s typical season sweets are frappe and castagnole, but they are also common all over Central and Northern Italy, under different local names. The fact that they are the typical Carnival sweet of most of the country is due to their ancient Roman origins, when Italy was part of the Roman Empire.
If you visit Rome in February you can’t miss these sugar-covered flat stripes and dough balls in bakeries and pastries.
Frappe and castagnole are usually fried but the healthy version is also available: baked. The real debate, however, is not about the cooking method but the ingredients. We love them plain, covered by icing sugar, but there are many variations more and more common.
Very god frappe can also be found at the pastry shop Caselli, in the Ostiense area. 
In downtown Rome the well known pastry Cinque Lune has some very good ones. 
And Pompi, which probably makes the best tiramisu in town, also makes excellent frappe. 
An interesting variation can be tasted at the Beti bakery in Monteverde, where they are chocolate-coated. 
Since castagnole are little balls that could be confused with hazelnuts (castagne in Italian and this is where they get their name from) they can also be filled with a variety of ingredients.
Chocolate and chantilly cream are the typical fillings that you can find at their best again at Cinque Lune, just behind Piazza Navona.
But Romans love ricotta, our sheep cottage cheese, and this is another ingredient of filled castagnole. The best ricotta castagnole of Rome are in the EUR area at the Moroni pastry shop. 
Also with ricotta inside but with alchermes (an Italian liquor for desserts) on top can be found in the S. Giovanni area at Monza. 
Zampilli, in the Pigneto area, makes them with nutella inside. 
Very good castagnole also at Panella, near S. Maria Maggiore, which also has other Carnival sweets from the rest of Italy.  Check out this place also for the next gastronomic peak time of the year: Easter!