Gene Veith over at Cranach has an entry reporting a theory by biblical scholar Colin Nichol that the Star of Bethlehem was a comet. It links to an interview with Nichol at Christianity Today.
Actually, that's a very old theory which probably isn't valid. For one thing, no known comets in that time frame fit. But beyond that, the author makes a rather large assumption which the text doesn't bear out: that the star was continually visible for over a year.
Most people assume that, but the text doesn't actually say it. It only notes that the star was visible at certain points on the journey of the Wise Men. As it happens, a series of close conjunctions between Venus, Jupiter, and (sometimes) the star Regulus in the constellation Leo occurred in the years 2-1 BC which would fit the Bible's description of the star and its activities perfectly. Venus and Jupiter, btw, are the two brightest objects in the night sky. Conjunctions between them happen occasionally, and it's kind of fun to imagine that we might be looking at something similar to what the Wise Men saw.
The Wise Men were probably astrologers, and for me this is the clincher: Venus, in ancient Mesopotamian astronomy, was the planet of birth. Jupiter was the planet of royalty. Regulus also symbolized royalty, and Leo the Lion was the constellation symbolizing Judea. The conjunctions in question would naturally lead to the question, "Where is He Who is born King of the Jews?"
The Adler Planetarium in Chicago does a presentation on that theory every year about this time. It's going to be retired- unfortunately, I've been unable to find the actual story about when despite several links to the Chicago Sun-Times web page- but it was a holiday staple at the Adler ever since the 1930's.
Here is an article on the various theories about the star. It should be noted (despite what the article says) that while planetary conjunctions are common, conjunctions of specific planets and stars in particular constellations aren't. Astrologers would have read specific significance into each of them, and the one in 2 B.C. which the Wise Men would have seen "in the East" and the subsequent conjunctions along the way would have provided a very credible explanation not only for the conclusions he Magi reached but for their journey.
A conjunction of this kind occurred, interestingly, on June 30 of the past year, though Regulus was not all that close. Above is a picture of a triple conjunction from the ESO.