The Star of Bethlehem was most likely the planet Jupiter. In the years 3 & 2 B.C, Jupiter did some pretty weird and amazing things from the perspective of an observer on Earth, but fully understandable if you consider that both Jupiter and Earth are moving in their own orbits. The Magi who came to see the God of the Universe born here on Earth would have followed Jupiter's weird and wonderful movements of this time. Jupiter came to a complete stop on December 25, 2 B.C. over Bethlehem, coincidentally the date we celebrate Christmas every year.
There seem to be a few theories of when the Star appeared, but of them all I find this one the most compelling as among other things, it references the corrected date (1 B.C.) of Herod's death.
For a complete explanation of what I've just said, read The Nine Points of Christ's Star and The Starry Dance ~ BethlehemStar