The Holiday Pie is a baked turnover-style pie with a sugar cookie-like crust embedded with rainbow nonpareils and filled with custard. The pies are available for 89 cents a piece (may vary). You can find my review of it here (they're available in Southern California this year).
The Egg Nog Shake is a vanilla shake mixed with egg nog syrup.
Some areas may offer one and not the other.
Photo via McDonald's.