When Ralphie's father is sitting in the chair reading the funnies (before the dogs ruin the turkey), there is a small gold lampshade sitting on the table next to him. In the first shot, there is a Christmas bow on it. In the following shot, the bow has disappeared.
The film is set in Indiana, but was actually filmed in Cleveland, Ohio. It was the only place the directors could find that looked like a midwestern town in the 1940's.