For starters, it’s only served during Carnival, so in theory, you can only get it between Epiphany (January 6) and Fat Tuesday.* Limited availability makes anything special.
Also, it comes in a vast array of flavors. Some prefer the “traditional” king cake, which doesn’t usually have much flavor apart from the granulated sugar on top and maybe a little cinnamon mixed in the dough. I for one find that completely underwhelming: bring on the Bavarian cream or the apple and goat cheese, please.
However, king cake also presents a major dilemma: what the hell are you supposed to drink with it?