Try Le Paris on Eubank or Dolce Vita on Lomas. Might need to order.
Dolce Vita has moved to the shopping center at the NE corner of Wyoming and Candelaria and is now called Sergio's Dolce Vita. Might also be worth looking at Saratori (San Mateo between Lomas and Constitution).
I am pretty sure Great Harvest Bakery at the SE corner of Juan Tabo and Montgomery does them.
St. Mark's on the Mesa (Episcopal) Church celebrated Epiphany after Sunday service with Kings Cakes. They were delicious and they were purchased at the French Riviera Bakery on North 4th Street.
They sell them at Pro's Ranch Market.
If a local bakery doesn't work out, Whole Foods sells huge King Cakes. They always sell out.
If you want to try making your own, here's a recipe posted a few years back by a fellow fixer:
Le Paris definitely makes them.
If you're downtown, La Quiche Parisienne at Fourth and Copper has them....
La Quiche is awesome, too...
La Quiche is fantastic, they make the best pastries/croissants/etc., and do special orders (I even had them make a couple of football-shaped loaves of bread for a Super Bowl party the last few years...they do animals, too).