Curious Austrian Christmas Markets

Why is a European Christmas Market also called Weihnachtsmarkt or a Christkindlmarkt? And what do these markets have to do with the Holy Roman Empire? Why do you find Christmas Markets mostly in German-speaking countries? What is the curious history of the Advent Wreath, of Silent Night, and a creepy Christmas character named Krampus? And is a Krampus different than a Krapfen?