We are flying into Cologne late 11/14. We plan to do the markets in Cologne and surrounding 11/19 and after. This leave us 4-5 days to explore somewhere else. Where would everyone suggest? We do not plan on renting a car. We have looked at doing Munich, Brugge/Brussels, or even the Austrian Lake District. We considered Paris because of the train accessibility, but have already been there so want to go someone new. We like to do outdoor things like hiking, although we understand a lot of that may be not accessible because of the season/daylight. We would appreciate any ideas!
South of Cologne on the Rhine River: Hike the Rhine Castle trail (Rheinburgenweg) and the Rheinsteig on the opposite riverbank.
This section of the Rheinburgenweg between St Goar and Oberwesel is terrific.
You might stay in Boppard, the largest of the small Rhine towns in this area, which offers free train transportation around the Rhine and Mosel for all guests who stay there with the VRM Guest Ticket... or perhaps book in Koblenz if you require city comforts. That said, Koblenz is only a 15-minute train ride from Boppard, so it's easy to pop into Koblenz as needed from a Boppard base.
First, be aware that only a part of the total Christmas Markets will be open in Koln during your stay. And that is the only one within 3-4 hours train access that's open that early.
My experience is that the towns along the Rhine will be mostly closed down now that the tour boats are no longer running. They are basically dead until spring. You can still go walk around, but services will be minimal.
Aachen, a 30 minute train ride from Koln is an excellent city to walk around. Lot's of history and museums, plus the food and beer are excellent.
If you have any interest in cutlery, Solingen is about 45 minutes north by train. It's not the most attractive town, but it was the center of knife and sword making for about 2000 years and they have a very interesting museum covering the trade. It's also home to the company that makes Gummi Bears, and they have a factory outlet.
You may also want to look at Heimbach (Effel), which is about an hour and a half away by train, and is a great place to walk in the woods, around a lake, and by a very good castle.
We'll be down to about 8 hours of daylight, and it's been cool and wet so far this autumn, so plan accordingly. Don't forget that most places are closed on Sundays outside of the major cities.
I would consider Dresden. You can enjoy Saxon Switzerland nearby, and the city itself is gorgeous. You could also take a side trip to Bautzen and explore the Sorbian culture.
KGC brings up a reasonable point about the smaller Rhine towns... most of them WILL be very quiet, and some lodging/dining establishments do in fact close during the winter months when tourists are mostly absent.
That said, it seems your motivation is unrelated to tourist shops, river cruises, etc. You "like to do outdoor things like hiking..." and are planning on that, even though "...a lot of that may be not accessible because of the season/daylight."
Also, you are concerned about "train accessibility."
So my note here is just to reassure you that the towns and hiking trails I suggested previously are completely feasible. Boppard, with 16,000 residents will not be an empty village with shuttered doors and windows. It is a minor commercial center where locals in Boppard and surrounding towns shop and dine year-round. Boppard is 15 train minutes from Koblenz (pop. 115,000) on the shared "Left-Rhine-Side" railway, the same railway with direct train connections to Bingen (pop. 26,000, 30 minutes away) and Mainz (pop. 220,000, 50 minutes away) as well as the major cities of Bonn and Cologne. The train system here is designed not just for tourists but for residents who use the rails year-round, and wintertime service is just like summertime service. Map of the "Left-Rhine-Side" railway:
https://www.duesseldorf-blog.de/wp-content/uploads/2008/12/karte.gif
All those small towns between Koblenz and Bingen (Hirzenach, Trechtingshausen, etc.) have stations on this railway as well - and they line up north-south alongside the Rhine Castle Trail, which skirts the cliffsides above these towns. This situation makes hiking quite convenient... Whenever you wish to leave your hike in the great outdoors, you simply take a connecting trail down into one of these towns and hop on a train to wherever.
The same situation exists on the other side of the river, where the Rheinsteig is located. See map:
https://rheingaulinie.de/files/rheingaulinie/files/Fahrplan/fahrplan.png
If you stay in Boppard as suggested, you can hike the Rheinsteig on the opposite side by using the ferry crossing there:
https://www.youtube.com/watch?v=E-4zOvQaTH0
If you stay in big-city Koblenz, the main station connects you to both riverbanks.
I would second the suggestion to visit Aachen while you are in Cologne. It is a relatively quick train ride away, and well worth a visit. Its cathedral is quite beautiful (especially the interior, which is beautiful) and houses the remains of Charlemagne, leader of the Holy Roman Empire. The town is also very charming and has a lovely vibe to it. It's smaller than Cologne and you could easily spend some time just walking around and enjoying the sites. Don't miss the Granus tower, which is next to the Rathaus (town hall) and is one of the few pieces remaining from Charlemagne’s palace. It dates back to the 8th century, making it over 1200 years old.
With regards to your 4-5 days, I like the suggestion of Dresden, but you also might consider the the Alsace area of France, which also has some lovely Christmas markets. Strasbourg is especially known for their market. You could stop over in the Black Forest or even stay there, where you could easily get your fill of hiking and see some lovely quintessential German villages and towns like Gengenbach and Schiltach. Then take a day trip to Strasbourg to visit the Christmas market. I would especially recommend seeing Gengenbach in the Black Forest as it transforms its town hall at Christmas time into the world's largest Advent Calendar House.