The tradition surrounding the king cake in New Orleans seems to be very similar, but has gotten detached from Candlemas and has come to rest at Mardi Gras. You get the plastic figurine, you buy the cake next year. At least that's the way my former boss, who was from that part of the world, explained the Mardi Gras custom to me.
Candlemas is the day in the Christian calendar when candles used in the church in the coming liturgical year get blessed. It is the 40th day after Christmas, and is a weird Christian enactment of a Jewish ceremony of purification for a mother who has borne a male child, performed 40 days after the birth. Catholic and Orthodox Churches, naturally, quarrel over how to properly count to 40. Actually, of course, they are quarreling about date of the Nativity, and it is as certain as anything can be that they are both wrong.
The Mexican custom seems to be Christian in the business of the baby Jesus concealed in the pastry, but the tamales come from the pre-colombian festival at roughly the same time of year in honor of Tlaloc and his consort Chalchiuhtlicue (pronounced as spelled.) Nowadays, seeds for the coming year's corn and bean plantings are blessed and an offering of tamales is taken to various shrines thought to bring rain and good luck, and of course, tamales are eaten by all (this last is about all that's left of this custom in urban Mexico today, or so I gather from watching Spanish language TV).
According to Wickipedia, "In the British Isles, good weather at Candlemas is taken to indicate severe winter weather later." Also, from Wickipedia, the following is said to be the first reference to Groundhog Day as we know it:
February 4, 1841 - from Morgantown, Berks County (Pennsylvania) storekeeper James Morris' diary..."Last Tuesday, the 2nd, was Candlemas day, the day on which, according to the Germans, the Groundhog peeps out of his winter quarters and if he sees his shadow he pops back for another six weeks nap, but if the day be cloudy he remains out, as the weather is to be moderate."
And, it is worth noting that today is also the occasion of I and the Bird #16, hosted this month at the Dharma Bums blog.
Today's bird: A Carolina Chickadee, eating an offering of sunflower seeds. As you can see, it is a bright day in Austin, and we would have 6 more weeks of winter if we had any groundhogs here.