So, the Star of Bethlehem most likely did not exist, because, surprise, the Bible is vague and contradictory. Basically, it claims to have hung in the sky, and be extraordinarily bright.

"Speaking of support, there is another important point: Arabs and Chinese were phenomenal astronomers, and rarely missed any spectacular events (barring records being missing from key times). Note that most bright stars in the sky have Arabic names, a testament to the prowess of Arabic astronomers. It is unlikely in the extreme for them to have missed something like the Star of Bethlehem, and to my knowledge they didn’t record anything for that time period that fits the story, miracle or not."

Update: It's possible that the Star of Bethlehem was a conjunction of planets plus a supernova. Don't hold your hopes up for that hypothesis. Seriously, though, what is cooler than explaining biblical phenomenons by scientific naturalistic means?