According to Fredrick A. Larson, this so-called 'Star of Bethlehem' is actually the planet Jupiter. He produced a video documentary called (appropriately enough) "The Star of Bethlehem" that can be found on YouTube (link) and his website. In this video documentary, Rick Larson lays out a detailed case for the Star of Bethlehem being Jupiter, which includes the following points:
- These "wise men" were almost certainly astrologers.
- "In the east" likely meant that the "star" rose in the east, like all stars do.
- Jupiter, the King Planet, entered retrograde motion around Regulus, the King Star, crowning it.
- Jupiter then coincided with Venus, resulting in the brightest star that had ever been seen.
- Jupter entered retrograde motion again and appeared to stop over Bethlehem.
Larson then goes on to point out a great number of other significant astronomical events that occurred throughout Jesus' life, but they are not directly related to the Star of Bethlehem, so I won't talk about them here. The main difficulty with this is the fact that most historians place Herod's death in 4 B.C. whereas Larson's explanation depends on Herod's death being in 1 B.C. Larson does reference recent scholarship that support 1 B.C. as being the year of Herod's death.
The Wikipedia article on the subject has a section about astrological events that might be the Star of Bethlehem, and all of the suggestions in that section include Jupiter. Therefore, it's a safe bet to say that Jupiter is the most likely candidate for being the Star of Bethlehem.