Cologne hosts a number of Christmas markets throughout the city. Each has its own special atmosphere and its own program. The biggest one is at Cologne Cathedral. The best way to explore the Christmas markets is by foot. You can also ride on the Christmas-Market-Express train visit the various Christmas Markets directly.
I liked the diversity of each of the markets along with the food. Make sure that you visit the markets at night as well as during the daytime, as they take on a completely different feel.
Plenty of superb food and drink but also the stalls sell quality goods and products. All markets have their own individual mug designs which you can get your Gluhwein in.