Who are the Magi - Myth and History

The Magi are famed as ancient keepers of esoteric wisdom. From serving as Zoroastrian priests, experts on the occult sciences - especially astrology - and most famously following a mysterious star to the infant messiah Jesus. Indeed, no image of Christmas can be conjured without them presenting their three gifts. What do we know about the Magi? How did the mythology around them develop in early Christianity? How were these pagan priest-kings understood by early Christian theologians?