King Cake is a glazed and sugared yeast bread ring that is a New Orleans tradition for Mardi Gras. This version is filled with sweetened cream cheese, which makes it look and taste like a giant cheese Danish. Serve this cake to revelers throughout the Carnival season and on Fat Tuesday. This recipe is adapted from King Arthur Baking.Please note that dry milk powder is a recipe ingredient. Not all home bakers keep this on hand, but it is wonderful in this recipe. The added protein and sugar from milk powder helps the structure and improves texture of yeast breads, which makes them rise well and have a tender crumb. It's also a browning agent.