All four cities you've mentioned are beautiful and have their unique charm during the Christmas season.
Budapest - for grand architecture, stunning Christmas markets, and thermal baths.
Madrid - The city is adorned with festive lights, and its main squares, such as Plaza Mayor and Puerta del Sol, host Christmas markets and events.
Prague - It's a fairy-tale destination during Christmas, with its medieval architecture and charming Christmas markets.
Salzburg - renowned for Baroque architecture and Alpine surroundings