
What's the best activity to do at Pershing Square, Los Angeles
One of the best and most anticipated events at Pershing Square is the Winter Holiday Festival. Usually starts at November then ends by January. Most part of the Pershing Square becomes a public outdoor ice rink. There are skating sessions and skate rentals available whenever you need it.
They also look forward in seeing the Miniature Train Weekend and the Mommie and Me Stroller Skating. There's also a few concerts and movies shown within those dates.
http://golosangeles.about.com/od/losangelesoutdoors/ss/Outdoor-Skating-in-Los-Angeles_2.htm
http://golosangeles.about.com/b/2009/11/17/downtown-on-ice.htm
There are other events which are also great to experience at Pershing Square on other months of the year. Depends on what you would love to see or do the Pershing Square has been with the city for quite a long time to know most of its locals preference.

