I know Shilin Night market is a short cabride fromthe Sheratonor you can take the MRT Danshui line to Chientan Station. Rao He should also be fairly close. Shilin is less organized that Rao he so some people find it more "authentic". You may also want to visit the Huaxi Street Tourist night market, Gong Guan-, Liao Lin-, Xi Men Ding- and Shida Night markets.