Hmmm, where to start??? We usually bring back an entire suitcase of sweets and food items but I am guessing you are looking for fashion related items!! Nuremberg is supposed to have one of the best xmas markets too and having been to a few, I find most of them are the same. Honestly, you'll find alot of made in China junk along with handmade european treasures (I don't think they require country of origin labeling). I would definitely go - it's a totally fun experience, especially if you grab a nice warm mug of gluhwein.
In terms of fashion outlets, I generally hit Zara, Benneton, Mango, Mexx, H&M and Esprit. I know that some of these stores have outlets here in the US but none are near me. I stock up on Nivea lotion (it's different) and LaBello lip balms. I love the selection of hosiery - especially Falke and warm weather alternatives. Oh and the shoes!! OMG, you must go shoe shopping!!! It's shoe heaven, especially for comfy but fashionable shoes as long as you don't mind the prices.