We love us some King Cakes.
Haydel's Bakery is our favorite. We always get the sugar only (the sugar + frosting is pretty sweet) and we get the package with the coffee, bead pack, etc. because why not!?! The high costs of these cakes are due to FedEx shipping but good luck trying to find a legit King Cake outside of NOLA. Buy NOLA and support their economy!
Antoine's and Gambino's are pretty good too.
I have yet to try a filled King Cake which is usually cream cheese but there's lot of different options (flavored cream cheese, brownie filled, praline, German chocolate) so a bit of choice overload.