Here you go, OL. To tell you the truth, I wouldn't have known anything about King Cakes or anything at all Mardi Gras except that my brother married a girl born and raised in New Orlean's Garden District. Now I love all that NO food (she's a damm fine cook ;-) ).
http://www.mardigrasunmasked.com/mardigras/king_cake.htm
Thanks, the history is really interesting.