Three Kings Day is also known as "Epiphany." It's when the magi visit the baby Jesus.
We actually don't do too much with it - we take down our tree, and the church service (Episcopal) this morning had a cute procession where the kids followed the star to baby Jesus in the manger, and then some rather large kings from orient joined the procession.
(My friend is from spain and it's a bigger day at her house - they bake bread that is shaped like a crown and get small gifts in the morning).