Marshmallows are for some reason synonymous with the autumn festivals of Halloween and Bonfire night. I guess it must be something to do with the fact that they're great toasted on an open fire. There are a few games that use these spongy treats including a Japanese one that's featured on Youtube which involves pinning your nose back with an elastic band, but as I don't speak Japanese I couldn't really figure out how this one worked.
One of the more popular ones involves threading 10 marshmallows onto a string for each player, separating the marshmallows out so there's space between them and then suspending them from somewhere at a height that the players can reach them with their mouths. On the word 'go' players race to be the first one to eat all the marshmallows on their string.