The Santa hat was a hat worn by every character in the comic on comic #050, as that comic was uploaded on the 25th of December. The hats all vanished again on the next page, with the notable exception of Bob's, as Bob was off-panel when the previous comic ended.
Jane stole Bob's hat later, on comic #061. Unfortunately, on the same page Captain Obvious cast Captain Obvious's Magical Spell Which Is An Epic Level Spell And Is Epic!, which transported both himself and the hat to another plane.
When Jane noticed the loss of the hat, she was pushed into her first bout of hat deprivation illness, fortunately stopped by the application of Sneak Attack. Ever since, any mention of Captain Obvious drives Jane back into hat deprivation illness.