Ironic... I was just putting together some Xmas trivia for a family gathering this weekend, and one of the questions is "Who is Stephen?" in this song. EDIT: Hmmmmm....now that I think about it, I don't think I know who King Wenceslas is.
Martyred Duke of Bohemia-- sometime in the 10th century-- who was the second of his line and the first born into Christianity. He was said to be not merely baptized, but seriously focused on the distribution of alms (which accounts for the association with the feast of Steven.)