Certainly Baptists can participate in Lent if they wish to do so. (Some Protestants actually do observe Lent within their church communities.) You are free to give up a pleasure during Lent (e.g., candy, TV); you are free to receive blessed ashes at an Ash Wednesday service; you can even practice the Catholic disciplines of abstinence on the Fridays of Lent and fasting and abstinence on Ash Wednesday and Good Friday.
Have a blessed Lent, and may God guide your discernment of Catholicism. God bless.