At Christmas go to Zurich Main station (Zurich HB) and there is a great christmas market!
Bürkliplatz: Tuesday and Friday from 6 to 11am
Helvetiaplatz: Tuesday and Friday from 6 to 11 am
Oerlikon: Wednesday and Saturday 6 to 11/12 am
Sometimes there's a night market at a special location, check it at http://nachtmarkt.ch/