I went to the Munich one a couple of years ago with some other ladies on the forum. It was a lot of fun!! I know Q-G and Geeta have been a bunch of times, so I'll let them give some details
Although I've been to Germany loads of times, I have actually only been to the Christmas markets (Munich) once.
I had a great time in the company of the people i was with, but i was disappointed by the market itself... mainly the stuff that was being sold. There was nothing i wanted to buy! It was mainly Christmas decorations, none of which were to my taste. I dont know what I was expecting... but i went away emtpy-handed... unless you count the many cups of Gluhwein I got to drink, which was wonderful!
That said, it's still worthwhile going, for the experience.