The Vörösmarty Square is the best market for shopping with a wide variety of local crafts from very cheap to looks-too-expensive-to-even-ask-how-much. The Basilica market is better for food, not as good for shopping. I went to both on Friday with an RS couple from Oklahoma and we all enjoyed them. At the Basilica we shared a steaming hot chimney cake (plenty for the 3 of us) with coke, hot chocolate and mulled wine (one each). Yesterday I went to the market at Obuda, very low key with old-fashioned carousel and train for the little ones and an ice skating rink for all. Again there is plenty of food to choose from, not much in the way of crafts, though. From there I went to Szentendre, more food and crafts and a free Christmas Museum, that was worth the train trip. When you walk in you can take photos sitting with Santa (who really looks like he could be Santa) and a lot of visitors took advantage. There are many vintage tree ornaments and other decorations crammed into two small rooms and another larger room more crammed with new ones for sale. Most of them are beautiful and very very tempting. I got back after dark and went to see the Pest markets after dark.
The buildings on Fashion Street were all lit up, mostly in white, and just lovely. Right next to it is Vörösmarty Square also nicely illuminated but very crowded, maybe it's the weekend. Then it's a short walk to the Basilica even more crowded and lit up. At 5.30 there was a 10-minute sound and light show projected on the facade of the church - lovely.
I'm about to go to the Gozsdu market. Will report on that if it's worthwhile.