My absolute favorite place in Stockholm is the open-air museum Skansen. I don´t know how many times I have been there already but there is always something new to discover. In Skansen, houses from different areas & different times are assembled and open for visitors. In some of the houses, employees in original costumes explain how the owners of the house used to live or show traditional handicrafts. Since there are always different mottos & different houses open I never get tired of Skansen.
Skansen also includes a little zoo with Nordic animals and you can join the feeding times and learn more about the animals from the personnel. There are different cafes & restaurants and an absolute amazing view over Stockholm. The area is huge and I never manage to see whole Skansen on one visit.
My absolute favorite is the Christmas market in Skansen, which is the best in Sweden in my opinion.The Christmas market takes place every weekend before Christmas and you can buy handicrafts and other presents, try or buy moose and reindeer meat, dance traditional dances around the Christmas tree or travel by horse-drawn carriage through a magic winter world. There are fireplaces at different parts of the museum to warm your cold fingers and feet and the whole place becomes so cozy.
I can really recommend to take the tram or bus over to Djurgården when you are in Stockholm and visit Skansen, the best is to plan a few hours for your visit so you get to see a lot.