We can use come out in the sense of coming from far away. But what's the difference between the following to sentences:
My parents are coming out for Christmas.
My parents are coming for Christmas.
If you think of where you live as being out, away from where your parents live (either because you perceive yourself as "away", or because you're seeing the locational aspect from their point of view) then out is fine. But it's also fine not to include the preposition (or to use up, down, over, by, etc.)
Ignore anyone who suggests there might be confusion because some people might think your parents are preparing to go public and admit they're homosexuals. That's just a perverse interpretation.
Just as FumbleFingers wrote, there is no difference between the sentences in and of themselves. However, there is a slightly different connotation, that may or may not matter.
For example, if you usually go to your parents for Christmas, but this year they are coming to visit you, that would be a change of pace. So when talking to an acquaintance you might say the first sentence with emphasis on "out" to demonstrate the contrast from the usual, that is to say, you usually visit them but not this year. The second sentence carries no possible nuance, unless you were to say it sarcastically.
In addition to the two existing answers, there is a hint of them living in a city & you in the country, or a small town.
If it were the other way you'd never use 'out'.
Nor if you both lived in the same town, though you might use the less-specific 'over'.
If they lived in the North, you'd use 'down', if South, 'up'… etc.
There's some definite implication of direction, whichever word you choose.