I was on a "Rhine Getaway" river boat tour with Viking River Cruises that traveled from Amsterdam to Switzerland so I was able to stop each day to experience a different Christmas market. There was a charming one in Rudesheim am Rhein, a small wine-producing town that's a huge tourist draw in the Rheingau area of Germany, where Riesling and some Pinot Noir (known as Spätburgunder) grow on insanely steep slopes overlooking the Rhine river.
I doubt the Christmas markets were ladling out the high-quality wines this region produces and exports around the world, but the warm Glühwein steeped with fruit and spices like cinnamon and cloves tasted great nonetheless.
Another especially interesting visit was to the several Christmas markets in Strasbourg, a city that has passed between France and Germany five times in its political history and therefore has strong influences of both in its cuisines and culture. In the Strasbourg markets, there were cookies, pastries and crepes (as in all the other Christmas markets I visited) but also beignets and these beautiful chocolate-covered fruit kebabs.
The food was such a draw that I even passed up a couple of excellent meals on my boat, the Viking Jarl, just to graze at the Christmas markets. All-in-all, a culinary treat.