The most disreputable of the emperors (though Elagabalus runs him a close second), he ruled for 4 years (37-41). He became emperor at 25 after taking the throne when his uncle Tiberius died. Cassius Dio tells us of his interest in the games from the start:
This was the kind of emperor into whose hands the Romans then fell into. Hence the deeds of Tiberius, though they were felt to have been very harsh, were nevertheless as far superior to those of Gaius [Caligula] as the deeds of Augustus were to those of Tiberius. 2 For Tiberius always kept power in his own hands and used others as agents for carrying out his wishes; whereas Gaius was ruled by the charioteers and gladiators, and was the slave of the actors and others connected with the stage. Indeed, he always kept Apelles, the most famous of the tragic actors of that day, with him even in public. 3 So he by himself and they by themselves did without any restraints all that people like that naturally dare to do when given power. He organized and arranged everything relevant to their art in the most lavish manner at the slightest excuse, and he forced the praetors and the consuls to do the same, so that almost every day some performance of the kind was sure to be given. 4 At first he was but a spectator and listener at these and would take sides for or against various performers like one of the crowd; and one time, when he was vexed with those of opposing tastes, he did not go to the spectacle. But as time went on, he came to imitate, and to contend in many events, 5 driving chariots, fighting as a gladiator, giving exhibitions of pantomimic dancing, and acting in tragedy. So much for how he normally behaved. Once he sent an urgent summons at night to the leading men of the Senate, as if for some important discussion, and then danced before them. Yet after doing all this he later killed the best and the most famous of these slaves by poisoning. He did the same also with the horses and charioteers of the rival factions; for he was strongly attached to the Greens, which from this colour was called also the Faction of the Leek. Even to‑day the place where he used to practise driving the chariots is called the Gaianum after him. 7 He used to invite one of the horses, which he named Incitatus, to dinner, where he would offer him golden barley and drink his health in wine from golden goblets; he swore by the animal’s life and fortune and even promised to appoint him consul, a promise that he would certainly have carried out if he had lived longer.
Cassius Dio, Roman History 59
Suetonius’ Life of Caligula gives some more information, especially on Caligula’s unusual version of the triumph:
8 1 He gave several gladiatorial shows, some in the amphitheatre of Taurus and some in the Saepta, in which he introduced pairs of African and Campanian boxers, the pick of both regions. He did not always preside at the games in person, but sometimes assigned the honour to the magistrates or to friends. 2 He exhibited different types of drama continually in many different places, sometimes even by night, lighting up the whole city. He also distributed gifts of various kinds, and gave each man a basket of food. During the feasting he sent his share to a Roman equestrian opposite him, who was eating with evident relish and appetite, while to a senator for the same reason he gave a commission naming him praetor out of the regular order. 3 He also gave many games in the Circus, lasting from early morning until evening, introducing between the races now a baiting of panthers and now the manoeuvres of the game called Troy; some, too, of special splendour, in which the Circus race floor was strewn with red and green, while the charioteers were all senators. He also started some games at random, when a few people called for them from the neighbouring balconies, as he was inspecting the outfit of the Circus from the Gelotian house.
19 1 Besides this, he devised a novel and unheard of kind of spectacle; for he bridged the gap between Baiae and the mole at Puteoli, a distance of about thirty-six hundred paces, by bringing together ships from all sides and anchoring them in a double line, and then heaping a mound of earth on them and fashioning it in the manner of the Appian Way. 2 He rode back and forth over this bridge for two successive days, the first day on a caparisoned horse, himself resplendent in a crown of oak leaves, a shield, a sword, and a cloak of cloth of gold; on the second, in the dress of a charioteer in a car drawn by a pair of famous horses, carrying before him a boy named Dareus, one of the hostages from Parthia, and attended by the entire praetorian guard and a company of his friends in Gallic chariots. 3 I know that many have supposed that Gaius devised this kind of bridge in rivalry of Xerxes, who excited no little admiration by bridging the much narrower Hellespont; others, that it was to inspire fear in Germany and Britain, on which he had designs, by the fame of some stupendous work. But when I was a boy, I used to hear my grandfather say that the reason for the work, as revealed by the emperor’s confidential courtiers, was that Thrasyllus the astrologer had declared to Tiberius, when he was worried about his successor and inclined towards his natural grandson, that Gaius had no more chance of becoming emperor than of riding about over the gulf of Baiae with horses.
20 1 He also gave shows in foreign lands, Athenian games at Syracuse in Sicily, and miscellaneous games at Lugdunum [Lyon] in Gaul; at the latter place also a contest in Greek and Latin oratory, in which, they say, the losers gave prizes to the victors and were forced to compose eulogies upon them, while those who came last were ordered to erase their writings with a sponge or with their tongue, unless they chose instead to be beaten with rods or thrown into the neighbouring river.
Suetonius, Life of Caligula 18-20
An awful lot of care must be taken when picking up anything about Caligula as most of it is pretty awful and usually set at maximum shockingness to sell books. Caligula, Divine Carnage is a pretty good example of this, which is actually less entertaining than you’d think. (Do not be fooled by Amazon telling you this is a new classic.)
The best biography on Caligula is Antony Barrett’s Caligula: The Corruption of Power (1998).
If you’re interested in Caligula and spectacles the following is a short selection
Marc Kleijwegt. 1994 “Caligula’s Triumph at Baiae” Mnemosyne 47 (Requires JSTOR access)
 The modern cult of celebrity makes this seem innocuous, but in Rome actors were infamis, that is they were not at all respectable company for a senator, let alone an emperor. Not that that really stopped most people.
 Whenever I try and visualize this words fail me.
 Originally, an open racetrack it became a circus and was known as the Circus of Gaius or the Vatican Circus.
 The stone amphitheatre in the Campus Martius build in 29 BCE by Statilius Taurus.
 To match the colours of the Red and Green factions respectively.
 Of the houses surrounding the Circus Maximus.
 King of Persia in the 5th century BCE, he invaded Greece; to move his troops to Greece he bridged the Hellespont in 482 BCE.