If the question refers to "El Dia de los Reyes" (Day of the Kings) which is celebrated in Spain, Mexico, Philippines, Cuba, Puerto Rico and some other Latin American countries; and the rite of the "Rosca de Reyes" which is done in the afternoon of that day, then the answer is that a small doll representing the baby Jesus is baked inside the rosca.
Also, in Spain, it used to be that gold coins were often hidden inside the roscas but now little trinkets or toys are sometimes hidden. Sometimes a fava bean is baked inside.
As far as general fillings for rosca, there can be many, such as candied fruit and almonds, cream, jelly, etc.
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