I'm writing this as a comparison of Xmas markets between the two caves here in Valkenburg. Despite poor explanations on their site, there *are* only 2 markets, Velvet and Municipal, though it can seem like there's more. I went last year to Municipal and this year to Velvet.
First off, this cave is more busy and lively, and definitely bigger. There's more photo opportunities with Christmasy things than in Velvet. There's also much more food to try and more places serving things to eat/drink. That honestly lacked almost entirely in Velvet. There seems to be more history in the smaller cave that you can still view even during Christmas markets, but with little information, and many of the paintings covered up.
However, this was very very busy, and sometimes even feeling like cattle, being shoulder to shoulder with people. It is much bigger too, so just means that much more full. There are also a lot more gimmicky or low-quality things to buy here. I still liked this more because of the ambiance, music, and liveliness in comparison to Velvet, but I think on a busier day Velvet might feel nicer and less empty. The general quality of trinkets there is better (though mostly same vendors, just less of them) and the wall murals are pensive, but no samplings/food/drink, and much less decoration. It's a shame that they require different tickets for each that you can't go into both, but if you've seen one you definitely don't need to go to the other. I will admit that it was very difficult with the crowds in Municipal on a weekend though, so if you can only go on a weekend, go to Velvet, and go to Municipal if you can on a weekday.