This probably won't surprise you, but I travel mostly for food. When I sit down to make out my map of things I must do and see when visiting a new country, regional foods to eat is typically on top of the list. Christmas markets are no exception, and they may be the foodie-est event of the year.
Some people like to buy trinkets and scarves and ornaments at these markets — a European tradition that is as common in every town as a mall Santa in America. I, however, would like five mugs of mulled wine, please, and at least three treats.
Christmas markets are great — they evoke a very cozy feeling and put you right in the Christmas spirit, with impressive light displays, regional traditions and Christmas companions (we luckily avoided Krampus in Austria — he's apparently a bit of a dick), and local musicians playing in the streets. Sometimes you even get lucky and snow falls and you tra-la-la through the streets until you're reminded that snow is cold and the sun friggin' sets at 4:30 so you get more mulled wine and drunkenly buy another blanket scarf.