Just about every town in southern Germany will have some sort of Christmas market going on. Nürnberg and Regensburg are two close towns to Munich that will have larger markets, and both are very accessible by train (and cheap with the Bayern ticket). The Altstadt area of Nürnberg is worth every minute you spend exploring it. Würzburg also has a Christmas market, and is somewhat closer to Frankfurt.

If you are into skiing, there will certainly be a nice base of snow on the Zugspitze, and Garmisch is about 1 1/2 hours from Munich by train.

Hope the food prices in Switzerland don't give you sticker shock!