In the April, 2009 edition of Touchstone Magazine, there is an insightful article written by Patrick Henry Reardon. In this article Reardon makes the connection between the dream of the Gentile Pilate's wife in Matthew 27:19 and the visit of the Gentile Magi, who were divinely warned in a dream not to return to Herod (Matthew 2:12). I had not fully considered the literary and exegetical parallels between these two passages before. I wish I could link to the whole article, but since it's not up at the Touchstone site, here's at least of a taste of it for your Holy Week meditation:
(After pointing out that the phrase "King of the Jews" doesn't appear again after the visit of the Magi until the Passion narrative, Reardon comments:)
Matthew tells us that Pilate "knew that they had handed him over because of envy." Indeed, he mentions this in the verse immediately preceding the message from his wife (27:18-19). This envy of Jesus' enemies readily puts the reader in mind of the earlier envy of Herod, when he, too, was confronted with the real King of the Jews.
There is a special irony, then, to the title by which Pilate's soldiers address Jesus in their mockery: "Hail, King of the Jews" (27:29). Pilate, moreover, apparently with a view to mocking the Jews themselves, attaches to the cross the official accusation against Jesus: "This is Jesus, the King of the Jews" (27:37). At last is answered that question first put by the Magi, "Where is he who has been born King of the Jews?" (2:2) He is on the cross, the just Man dying for the sins of the world.
Thus, the dream of Pilate's wife, which had revealed Jesus to be a just Man, completes the earlier dream of the Magi. The testimony from the East is matched by the testimony from the West, both cases representing those regarding whom Jesus commanded his Church, "Go therefore and make disciples of all nations" (28:19).