If you take the trains, no problem other than crowds. If driving, plan to arrive early to find parking.
At Heidelberg, if you take the train, do not get off at the Bahnhof, get off at the Altstadt station, which is past the main Bahnhof. Then walk along the river to the first bridge (which is not the famous one) and then turn left and go up one block and then right and you'll hit the first of the squares with the market. There are 4-5 main places, including one up the hill at the castle. If you start in the Altstadt you can walk a couple kilometers back to Bismarkplatz and be totally inside the pedestrian zone and shopping as well as the markets. From there you catch a tram to the main station.
At Strasbourg, from the main train station, you can walk, or catch the tram to the main square where they have the big Christmas tree. It's about a 10 minute walk. Then you can easily walk to ether the Petite France market or the one by the Cathedral. There are 6-7 main places, so be prepared. I was in Strasbourg for opening day last year and they were still directing traffic and setting up barriers until dark so traffic was just stupid.
Stuttgart is a pain to get around, lot's of construction and speed cameras. The market is pretty much around the new Schloss and the Marktplatz, so you'll have to walk a few blocks if you get off at the Bahnhof.
Colmar is pretty centralized, and not that big, so just follow the crowd.
If you drive you may just want to park at the train stations and travel from there. They usually have parking and the prices are nothing like in the cities.
Last, and not on the normal routes, but I'd recommend them before Stuttgart, are the following (and just as close from Baden-Baden):
Neustadt (on the Wine Road) - If you want a food and wine experience you can't get anywhere else - https://www.neustadt.eu/Tourism-Wine/Christmas-/Christmas-markets-in-Neustadt/?La=2
Speyer - One of the oldest settlements in Europe and where 6 Holy Roman Emperors are buried (plus home to a huge Technical Museum in case you are "marketed" out). - https://www.speyer.de/de/veranstaltungen/weihnachtsmarkt/
