Go for the gift shopping (lots of beautiful handcrafted ornaments and jewelry), or the food (my favorite are the little meat dumplings served with vinegar and sour cream), and try to time your visit for the music and dancing. The atmosphere is just magical (think Nutcracker!) - can't imagine a better way to get into the holiday spirit. They offer tours of the beautiful church sanctuary - try to get in on one of those, too.
Do you have a favorite holiday event or festival that you're looking forward to this year?