Funny one.
Lots of people go to Burning Man, just like lots of people go to Vegas or strip clubs or whatever for a bit of fun and new perspective. It can be a good thing but it is good to know what you are engaging in, and to have some boundaries in place. I would say that generally since temptation is everywhere anyway.
After all, "all things are lawful but not all things edify" (see 1 Corinthians 10:23 for example). That said, I would have spiritual armor in place and would be prayed up. If it were me, I would choose to be salt and light. After all, "greater is he that is in you, than he that is in the world." (1 John 4:4).
I am personally not a big festival guy and my wife is not an RV girl so I don't see me going there anytime soon. Regardless, there are lots of stories on the web about people finding God at Burning Man. Just look it up and you will find many stories like this one:
http://godreports.com/2017/08/evangelist-at-burning-man-employs-unorthodox-approach/
Although it took me way too long to accept it, today, I am quite certain that Satan is real but Jesus Christ is Lord. I am also quite certain that some folks do have to find the former before they can accept the latter. I won't ever condemn them or think less of them. Why? Because their testimonies are often among the most powerful.
In fact, there are some folks here at NamePros who have seen the dark side on a scale that might blow your mind if they told their stories. I wish they would but that is for them to decide.
One of my greatest deliverance experiences was a few years ago when I was flying back from Europe. I was seated next to a young adult woman who had an extreme fear of flying. She was having a massive panic attack and the crew was debating whether to abort take-off and return to the gate.
As I was trying to calm her down, I saw that her hands were covered in occult runes and asked her about them. She said they were for luck. I knew otherwise. I offered to pray over her as the plane was coming to runway. I initially struggled to get the words out but ultimately managed to unleash some curse-breaking prayer.
Afterwards, I looked up and she had tears and said she had peace like a baby as we were on a steep incline lifting up off the runway. True story. We pretty much talked for the next 9 hours. Later on during the flight she let me take a photo of her hands:
Her life-long fear of flying was conquered. She is now a fearless prayer and that experience is probably part of her own testimony.
So, let your light shine and fear
nothing