I had a nice long post about King Cake but when I was almost finished I went to eject a music CD from the computer and hit the off button instead, so bye-bye post
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As far as I can recall off the top of my short little head: The King Cake goes back to France (and maybe some other countries as well) in the Middle Ages. A bean or coin was baked into a brioche type cake. The person who got the bean was the Boy King in Paris for one day. It was traditionally apprentices who were allowed to participate in this. The Boy King "ruled" for Mardi Gras or Fat Tuesday.
The Twelfth Night Revelers start the Carnival season in New Orleans. Their ball is on Jan 6, or Twelfth Night. The King is always chosen before hand. The Queen is chosen because her piece of King Cake contains a golden bean, the maids receive pieces with silver beans. Carnival runs from Jan 6 through midnight on Mardi Gras (the day before Ash Wednesday).
Sometime after WW2, the bean was replaced with a china doll. A while after that plastic dolls were used. You don't stand much of a chance of cutting the baby since the cake is more like a coffee cake now and cut with a regular knife. The danger is in biting into one. However, I haven't heard of any broken teeth since everyone knows about the baby and chews gently until someone finds it. Now the cakes are sold with the baby outside the cake and you put it in the cake through the underside.
It is traditional for businesses to have a King Cake on Jan 6. Every Friday through Carnival there is a brief King Cake party (during a coffee break) at work and who ever gets the baby has to buy the next King Cake. More than one person has eaten the baby to avoid buying the next cake, but most people go with the fun.
BTW, Mardi Gras is technically just one day, the day before Ash Wednesday. Through the years it's come to encompass the days before.