Emerging from the S Bahn station into the sights sounds and smells of Christmas Market time in Marienplatz is quite something, there is a lot to see and take in. Beware though it does become very crowded, and no one seems to take any prisoners, so be prepared to get stuck in otherwise you will not see much.
The gluhwein is a must, don't be alarmed when the stallholders charge a deposit on the mugs to guard against people like the earlier reviewer who decided to take them home. It is refunded promptly on safe return.
It is well worth visiting the market after dark as well, all the more atmospheric.