Old Town Square is the location of one of the biggest Christmas Markets in Prague. It's in the historic city center and has a spectacular tree lighting ceremony. This market runs from early November to early January. It opens late morning and stays open quite late.
As the other main Christmas Market, Wenceslas Square is just as impressive. It may be in a more modern part of town, in Prague's current city center, but Christmas cheer still abounds. This market begins later in November and runs to early January. It's open to around midnight. If you visit, try to make it for the light show animating famous Czech folk stories.
For a more authentic experience, there's the Christmas Market at Peace Square. Not yet as well known among visitors, you'll see more locals getting their holiday shopping done. Make your way to the Church of St. Ludmila from around mid-November to early January to soak in the local Christmas flavor. But don't wait until too late. It usually closes around 7 p.m.