The baking of a King Cake originated in France in the 12th century as an homage to the three kings bearing gifts to the Christ Child 12 days after Christmas (also called the Feast of Epiphany). When French colonists settled in New Orleans, they brought the tradition with them.
Here's a simplified version of King Cake using crescent rolls and featuring the traditional colors of Mardi Gras: purple for justice, green for faith and gold for power. A plastic baby, representing the Christ child, is hidden inside. Whoever gets the baby, according to tradition, has to provide the King Cake for the following year.