Actually you'll find Christkindlmärkte (sometimes also called Weihnachtsmarkt) in every bigger city. Some are small and basically only for meeting friends and one or two mugs of Glühwein others are big events. I have to admit that I'm no fan of them, as I'm no fan of the cold and of Glühwein, but anyways, I heard that the Nürberger Chrstkindlmarkt (Nürnberg isn't far from FRA) is nice, there you would also have the chance to grab a Bratwurst...;-)
As I'm also a big fan of Dresden I would go for one of them (or both).

BTW: I found the Heidelberger Weihnachtsmarkt to be super-boring.