King Cake (Mardi Gras Style)

I have always wanted to try my hand at making a King cake, that purple, yellow and green colored sweet confection traditionally served during Mardi Gras, and this year was finally the year I managed to work it into my schedule. This recipe is a yeast dough, and is a little advanced because of the extra steps involved in using yeast, but it is not difficult. I will try to be as explicit as possible for those who have never baked with yeast before.

But first, how about a little background info on these colorful cakes?

In the title, I specify that this recipe is specifically for a Mardi Gras-style King Cake. I have to make this distinction, because there are actually many different types of King Cakes in many different cultures. Typically, these cakes are associated with the Epiphany, the 12th day after Christmas (aka Twelfth Night) when the 3 Wise men (aka the 3 Kings) finally arrived in Bethlehem to visit the Baby Jesus. The King Cake "season" extends from the Epiphany all the way until the day before Lent (Shrove Tuesday, or Fat Tuesday).