Let's get this out of the way concerning the magi:
1. They weren't there that first night with the shepherds and the newborn baby. Not unless they were real magicians and had magic carpets (now there's an untapped fan fiction thread right there).
2. Scripture does not say that there were kings.
3. Scripture does not actually indicate that there were three of them.
Church calendar wise, we shouldn't be talking about the magi until January 6. Yet those dudes (and maybe women; again, we don't know) have weaseled their way into virtually every manger scene that one can't talk about the popular conception of Christmas without them.
The most valuable thing which the magi bring to Advent is the idea of faith as a quest. The magi saw a sign in the sky and they sought after it. Lengthy journeys in that day and time were not easy by any stretch of the imagination. Even if the magi had a massive support posse, they had to traverse great terrain and brave the elements. And it took valuable time. Like we said, they didn't come across the young family until later on. The quest of faith can be difficult and lengthy.
And we might not find exactly what we anticipate. The magi expected to find a newborn king. Naturally, they came to the palace in Jerusalem for that is where one would expect to find a royal baby. But they ended up at a modest home in Bethlehem. Matthew indicates no hesitancy on the part of the magi. We're told they simply became overjoyed and worshiped the baby. Second guessing would not work well with the narrative thrust of Matthew's gospel.
But you've got to wonder if the magi were wandering through Bethlehem and asking themselves if they had made a wrong turn. When they came upon this family in which the father was a simple carpenter, was there a moment where they muttered to each other "Is this really the great king?" They had traveled a great distance and they had been anticipating a child in a palace. This was definitely not what they had expected.
As we wait in Advent, we have to remember that the waiting takes great time, the waiting can be quite difficult, and that for which we wait may not be what we expect. That is the journey of faith that we all must take. Perhaps it's a good thing the magi have snuck their way into our manger scenes.