I was at the pre-Christmas markets in Stockholm and in Munich 2 years ago.

I must say I was a bit disappointed in Stockholm, especially compared to Munich. The market in Gamla Stan was small and too many of the booths were for lottery carnival prizes. The markets in Skansen are supposed to be much larger but were closed during the week. What was interesting in Skansen was that in many of the old homes they recreated what a traditional Christmas would have looked like in that era.

In terms of general sightseeing, I prefer the larger city of Stockholm (more museums, perhaps more shopping) over Copenhagen, but others will surely disagree. I think you would enjoy either one.

Tivoli in Copenhagen is reputed to do a very nice Christmas decorating job, but I have not been there.

It will probably be a bit colder in Stockholm than Copenhagen, but not a big difference. I much preferred the cold and beautiful snow of Stockholm to the almost freezing grey drizzle rain of Munich.