What was the Star of Bethlehem?

As the well-known story in the Gospel of Matthew goes, the Star of Bethlehem guided three Magi, or wise men, to Jerusalem some 2,000 years ago. And after consulting with King Herod of Judea, the men found newborn baby Jesus in the little town of Bethlehem. Whether such an event really happened in history is difficult to prove, but if it did, what was the Star of Bethlehem?  

This is a question scholars have long pondered, not just from a religious or historical perspective, but from a scientific one, too. Plenty of theories have been proposed, from an astronomical event to an astrological horoscope, but thanks to modern astronomy, scientists are getting closer to an answer.