I did Oslo and Stuttgart last year with my daughters (then aged 13 and 11). Oslo was tremendous - nice market, not huge, but rides and ice skating too. And, if you get the time right, and have snow on the ground, you can easily head into the hills outside Oslo on the metro to ride the korketrekkeren - a 2km toboggan ride through the forests. Absolutely awesome for kids of all ages.
Stuttgart is an enormous Christmas market. Beautiful stalls, and very well done.
This year, we are going to Copenhagen. It has several different markets dotted through the city, and Tivoli would be brilliant for kids the ages of yours.