Christmas Walk of Shame is when you leave your parents house the day after Christmas. In pajamas at 2 o'clock in the afternoon, you walk to your car with all your unwrapped gifts. Usually, feeling down (and broke) because Christmas is over. Most of the time this includes a hangover.
"Look at that family doing the Christmas Walk of Shame."
"Ok, Mom, we are out. Thanks for everything. We are about to do the Christmas Walk of Shame."