The Cavalcade of Magi is a traditional parade of kings coaches, practically in all Spanish cities and also in some cities and towns in Mexico. The Magi (of which tradition holds there were three: Melchior, Gaspar, and Baltasar) ride through the streets, as their page boys throw candies to children.
It is celebrated every January 5 (the day preceding the feast of Epiphany) in the evening. When the night comes the children must go to bed early after cleaning their shoes and the following morning they have the gifts of the Magi that they have requested before in a letter. According to this tradition, the children who have behaved badly during the last year receive coal rather than candy, though (as in the case of Santa Claus) this is not a frequent occurrence. They might get coal candy, though.
The great cavalcade of Madrid is retransmitted live on TVE 1 (the public Spanish broadcaster) every year. The cavalcade of Alcoy is the oldest in the world and is a major draw of international tourism for Spain.