I'd love to do a Christmas market in Europe, say Munich or Salzburg. Beautiful, but cold.
Thai beaches are great, but much further than Mexico. Take a look at Tulum, Isla Mujeres, Zihuatanejo, or Puerto Escondido (bigger waves.)
In Thailand, without kids, we spent a bunch of time in Koh Samui, Koh Phangan, and Koh Tao. With kids, in Koh Lanta and Koh Lipe. All are great.