I have been to Christmas festivals in Switzerland and Belgium and found them to be really nice.
On a related note - I think the Swiss idea of markets and festivals all year is really cool. Seems every month there is some sort of Spring, Harvest, Winter, Carnival, Beir, "insert name here" fest. All involve some combination of art, drinks, food and are open to all ages. Every locality has their own tradition, but it does seem to get back to things that are universal (food, drink, music...).
Merry Christmas