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 First Doctor, Steven Taylor and Vicki Pallister also visited the 1814 frost fair in February of that year, which Vicki described as the "last great frost fair." (AUDIO: Frostfire) The Eleventh Doctor, River Song and Stevie Wonder visited the same fair for River's birthday in 1814. Wonder performed for them in private, under one of the bridges. Given his blindness, Wonder was unaware that he had travelled in time. (TV: A Good Man Goes to War)
The Twelfth Doctor later took Bill Potts to the frost fair in 1814, investigating people disappearing on the ice, which turned out to be a giant sea serpent. Lord Sutcliffe planned to blow open the ice during the Fair, enabling the serpent to feed on them all. However the Doctor placed the explosives next to the creature, freeing it from its' chains. When Sutcliffe went onto the ice to investigate, the serpent cracked the ice and Sutcliffe fell through. (TV: Thin Ice)