In  his “ Golden Bough: A Study in Magic and Religion “ first published in1890 James George Fraser related the wren custom to the worship and annual sacrifice of a sacred king .He connected the hunting of the wren to such pagan practices as Indian snake worship.
“The worshipful animal is killed with special solemnity once a year; and before or immediately after death he is promenaded from door to door, that each of his worshippers may receive a portion of the divine virtues that are supposed to emanate from the dead or dying god.”
“Ceremonies closely analogous to this Indian worship of the snake have survived in Europe into recent times, and doubtless date from a very primitive paganism. The best-known example is the “hunting of the wren.” By many European peoples—the ancient Greeks and Romans, the modern Italians, Spaniards, French, Germans, Dutch, Danes, Swedes, English, and Welsh—the wren has been designated the king, the little king, the king of birds, the hedge king, and so forth, and has been reckoned amongst those birds which it is extremely unlucky to kill.”


“Notwithstanding such beliefs,[i.e that it is unlucky to kill the wren] the custom of annually killing the wren has prevailed widely both in this country and in France. In the Isle of Man down to the eighteenth century the custom was observed on Christmas Eve, or rather Christmas morning. On the twenty-fourth of December, towards evening, all the servants got a holiday; they did not go to bed all night, but rambled about till the bells rang in all the churches at midnight. When prayers were over, they went to hunt the wren, and having found one of these birds they killed it and fastened it to the top of a long pole with its wings extended. Thus they carried it in procession to every house chanting the following rhyme:
“We hunted the wren for Robin the Bobbin,
We hunted the wren for Jack of the Can,
We hunted the wren for Robin the Bobbin,
We hunted the wren for every one.””

more here:
http://www.gutenberg.org/files/3623/3623-h/3623-h.htm