A frost fair was a celebration held on the surface of the River Thames when it froze over. Carnival festivities, shows, games, ice skating, shopping, and other celebratory events were held on the open surface of the ice.
The Second Doctor, Jamie McCrimmon, Ben Jackson, and Polly Wright visited one such fair in 1648. (PDA: The Roundheads)
In 1814, the Hyban Masoon came to Earth and froze the Thames, starting the frost fair. The Tenth Doctor also took Mai Kondo ice skating at this time. (WC: The Frozen) The First Doctor, Steven Taylor, and Vicki Pallister visited the frost fair, which Vicki described as the "last great frost fair". (CC: Frostfire) An unspecified Doctor, River Song and Stevie Wonder visited the same fair for River's birthday, where Stevie performed for them, in private, under one of the bridges. Given his blindness, Wonder was unaware that he had travelled in time. (DW: A Good Man Goes to War)
