Try Stockholm, we went before, great Christmas market I the old town. Not massive but fun. However the best was this:
http://m.junibacken.se/lang/english
Our son loved it and still talks about it.
The swedes as always were helpful, kind and Stockholm v clean. Easy journey in the billet train too from the airport.
Vienna is good too, great zoo as well for kids
Basel also was good, big market but didn't find much else.
Hope that helps