In New Orleans and southern Louisiana, the tradition of the King Cake was brought to the area by colonists from Spain and France and is mostly connected with Carnival, which is also celebrated in the Gulf Coast area, especially in Mobile where Mardi Gras is celebrated on Fat Tuesday in the same manner as in New Orleans. King cake parties go back to around the eighteenth century. Basically, it is called a King Cake because the tradition of baking and eating them begins on the twelfth night of Christmas, which is, January the 6th.
The king cake comes in a number of styles. The most simple, said to be the most traditional, and the one I am enjoying right now, is a ring of twisted bread similar to that used in brioche topped with colored icing or sugar, usually colored purple to symbolize justice, green to symbolize faith, and gold to symbolize power. Some king cakes are traditionally deep-fat-fried like a doughnut, and there are many variants and many shapes and sizes and some come with a cream cheese, or raspberry jelly or praline filling. These kind are really great but chocked full of calories. Once in a Mardi Gras season should be enough with these kinds. Like beignets, king cakes are great with coffee in the morning.
To be politically correct, for a while, 'cuz no one in New Orleans cares about being politically correct, and because some bakeries were shipping cakes out of state and didn't want a lawsuit, they included the baby doll separately from the cake to be embedded just before cutting and serving. "Foreigners" were concerned children could choke on the trinket while eating the cake though no kid I ever knew, and I knew a lot of them, ever choked on the baby Jesus. Some adults, I was told, would swallow the baby rather than admit they got it biting into their slice of cake. Those adults must have really not wanted to give the next party or buy the next king cake to resort to such drastic measures as swallowing the baby Jesus!