<p>Haven’t been to any but Nuremburg, but I can tell you they used to run special trains from Munich (which has a lovely Christmas market of its own) just to go to the Nuremburg Market. I even have an ornament that they passed out on that train! Where ever you go be sure to eat a dampfnudel with vanilla sauce and drink some gluehwein - traditional fooe at least at the Munich market.</p>