I've never been to the Heidelberg's Weinachtsmarkt. Sounds nice. The city is very nice though.
I also hear the Tübingen (South of Stuttgart) is a very charming one too. My fav's are: Nurnberg(Nuremberg), Rothenburg (Rothenburg ob der Tauber) and Munich's - are all very nice. I also like Salzburg's Christmas Market too.
