Rome does have a Christmas Market but what Rome does really well is to fill the city, and just about every little street, with holiday lights.
I was fortunate to get to enjoy many of the lights and simply wander through the many little streets/alleys of Rome since I lived there for two winters. Just about anywhere you turn from mid-November through January there are Christmas lights and decorations illuminating the city. From Piazza di Spagna (Spanish Steps), down Via Condutti, through the many piazzas, monuments it sparkles!!
Rome does have a Christmas Market in Piazza Navona. It’s a bit more carnival like – a carousel, balloons, sweet treats like cotton candy, candied apples along with the local holiday traditions of Torrone and marzipan shaped fruits. There are also tents filled with anything and everything for your Nativity Scenes!!
The BEFANA dominates in this region and you can find hundreds of Befana dolls in the market. She looks like a witch to me, but the children love her!! In Italian folklore, Befana is an old woman who delivers gifts to children throughout Italy on Epiphany Eve (the night of January 5) in a similar way to St Nicholas or Santa Claus. Children get gifts from both Father Christmas and Befana.
My recommendations are to:
go in the evenings (duh ;)) and make sure you wander a bit off the popular main streets and explore the small streets & alleys – the contrast between the old dark cobblestone streets and architecture enhanced by the bright lights is lovely.
The Market at Piazza Navona is open all day and late into the night, so it’s nice to go explore the market, maybe buy some ornaments, Befanas and gifts.