In our need to get as many children in the Christmas pageant as we possibly can, we often compress the infancy and childhood stories from Luke and Matthew into one holy night. When we look closely at Matthew two we find some interesting things: we find that Jesus is referred to as Child (not infant vs 9); and that the Magi visit a house (not a manger vs 11). Best scholarship suggests that the Magi visited the child Jesus around his 2nd birthday.
The slaughter of the innocents (13-18) has some support outside the Bible in other first century documents and the event -- killing of all potential rivals -- is perfectly in character for Herod the Great. Herod held power with an iron fist and killed all potential rivals -- including family members and the occasional baby. I find it important to note that the events of Jesus birth and infancy are not presented in the Gospel as happening in some idyllic state or in the unfathomable mists of time but, rather, are shown in the stark, brutal political reality of the time. It helps me when I see the same kind of brutality and the same kind of merciless political maneuvering in our world that we bring Christ into the same environment today that he was born into over 2000 years ago.
The escape to Egypt is captured in a marvelous little book by Madeline L'Engel titled A Dance in the Desert. It is wonderful poem and worth taking a look at. One thing I note from Chapter 2 of Matthew is how often what looks like a detour (the flight to Egypt the return to Nazareth) are seen theologically as the hand of God moving, maneuvering, leading us to the place and places where we can make the greatest difference.