There are numerous theories about the Magi that visited Bethlehem, who they might have been and where they were from, but all the theories involve more than just a bit of folklore. All that really can be said is that, at about the proper time, there really were astronomer/astrologers in various places around the Middle East and that they often traveled from place to place to check out their theories about the meanings of celestial events that they had observed. They are recorded as visiting and being patronized by a number of royal courts, so it would not be unusual for them to follow a "star" that they thought was the herald of the birth of a new king, nor would it be unheard of for them to call on the court of King Herod to get information about a new king in the area. Some of these seekers were called "magi", although a magus (the singular Latin form) was really just a middle level priest of the Zoroastrian religion -- some "magi" could have been astronomer/astrologers. The legend that the Bethlehem Magi were "Kings" didn't surface until about the sixth century and then without any confirming evidence. The idea that the Magi came north from the Arabian Peninsula probably resulted from the fact that all three of the traditional gifts brought by the Magi -- gold, frankincense and myrrh -- were brought into the eastern Mediterranean area by way of the ancient "incense route" up the west coast of the Arabian Peninsula. Myrrh and frankincense really did come from southwest Arabia and East Africa, but the gold on that route came from the Indian subcontinent. Since all three commodities were easily available in all Middle Eastern markets, just as they are today, the Magi would not necessarily have been from the Peninsula. Images of the Magi traditionally show them with different skin coloration -- one black, one brown, and one white. Nobody really knows why, but it's a nice multi-ethnic touch.
There are numerous theories about what they were following and the year in which their trip occurred. The ideas most often proposed are that they either saw a comet or a planetary conjunction, but there is also a theory that they may have seen a star go into its nova stage.
The timing of the appearance of the "Christmas Star" is also connected to the lunar eclipse that reportedly occurred right before Herod's grisly death -- he was alive according to the Christmas Magi legend, so the timing of the eclipse would be relevant to the date of the Magi road trip to Bethlehem. There are various theories about which lunar eclipse it might have been -- they weren't really very rare, particularly if you count in all the partial eclipses visible at about the right time in the Middle East. All of this is used to argue for various "correct" dates for the birth of Jesus and for the "real" date on which BC switched to AD and our modern calendar should have, but didn't, start.
If this particular brand of esoterica appeals to you, there are places on the Internet where you can find the divergent "scientific" theories and avoid the vast amounts of pseudo-science. It's always smart to start these searches with a modicum if skepticism about what you might find later, so why not start at http://www.lhup.edu/~dsimanek/bethstar.htm where you can find links to sites that sort out the astronomical facts from the fictions.
Another useful Internet site that lists several of the prominent astronomical theories is at http://www.earthsky.com/Features/Articles/stars_of_bethlehem.html.
An Internet site that discusses the probability of reality of the whole of the Christmas story and particularly the astronomical events that were said to have occurred is at http://sciastro.net/portia/articles/thestar.htm.
Comet theory justification: http://www.csis.org.uk/Articles/Papers/Paper7/paper7.htm
Herod's eclipse: http://www.griffithobs.org/IPSPlanPlatt.html
New (1999) theories -- astrological event or nova star? http://www.usnews.com/usnews/issue/991220/star.htm. There will surely be more this year.