Good Christmas markers but so does everywhere in Germany it seems.

Nuremberg is famous for its ginger bread which they sell plenty of at their Christmas market. There is a small restaurant (Zum Gulden Stern) that serves delicious Nuremberg style sausages (similar in size to breakfast sausage in the states) that has been around since 1419. Oldest tavern in the city.

Make sure to see all the old Nazi buildings like the zeppelin field, the congress hall (now a museum dedicated to documenting the Nazi party), a burger king that operates out of a "bunker" made to house material and still has the shadow of the Nazi eagle on the outside, etc.

Nuremberg is a really interesting city. There is also the castle and Albrecht Durer museum if you are into art.

Salzburg is also great, I don't think I have been in winter though but I can't imagine their wintermarkt isn't great. I was underwhelmed by Prague but everyone else loves it so what do I know. Munich is great as well, great museums there, can visit Dachau concentration camp.