It is close to downtown, and I consider it walkable - I'm guessing about a mile, actually probably less than a mile from Inner Harbour.

It's just before Ogden Point (maybe technically it is there), which is where cruise ships dock. I often walk past it as it's right on the waterfront.

Victoria is very safe so I do not worry about walking around after dark, but as for happening places, I'm not the best person to ask. Parliament building should be lit up in Xmas colors and look rather nice.