Night markets are found in many places of the world, but my only experiences with them are in China and Taiwan, where they're both tourist attractions and a way of life. Beijing, Shanghai, Taipei, etc. all have several; most guidebooks list locations, but you'll probably want to go with an experienced friend if you can. The night markets open at various hours and often don't get lively till 9 or 10 pm or so, when things will get really crowded. There will be food stands of familiar snacks and unrecognizable things-on-sticks, live animals, pirated goods ranging from Hello Kitty to Prada, luggage, costume jewelry, religious items, clothing and shoes of all kinds (but not all sizes), toys, CDs, etc. etc. The quality in Taiwan is usually pretty good--less so, I thought, in the mainland, but I spent less time at night markets there.

Advice for going:
- If you don't like crowds DO NOT GO. A night market may very well have thousands of people all crammed into winding back alleys.
- The only pick-pocket incident I've heard of so far from friends in Taipei happened at a night market--given the chaos that's only logical, so keep an eye on your stuff.
- You will run into other foreigners (assuming you're one), but that doesn't change the fact that night markets are a local, authentic form of shopping-entertainment (more so in Taiwan--certain ones in the mainland are more touristy than others, so ask around).
- Bargain a little, or watch other people and see what they do. It depends on local custom. In Taiwan you might get some small discount; in the mainland the original asking price for foreigners is likely to be much more than the item's worth.
- Bring cash. (In the mainland, a few American $1 bills might be useful--if you bargain something down to $1.50 or so US, you might be able to get it for $1 if you pay for it with greenbacks.)

If you can get a comparable item in a night market instead of a department store, you'll definitely save a lot of money. Just use your common sense. And be prepared for the whole thing to disappear--a vendor snatched a shirt out of my hands as I was about to buy it, saying that the police were coming. The center of the street, which had been packed with vendors and goods, became empty in about 30 seconds. We're not sure how they did it (lots of practice, I guess). Magically, they were all back 10 minutes later.

(I never did get my shirt.)