I had to ask my nephew to explain. And then, with the help of a few quick searches, I learned a lot more about ventriloquist Jeff Dunham, and Guitar Guy (pictured with Jeff, above), and Jeff's pals.
Apparently my nephews had watched Jeff Dunham's Very Special Christmas Special on Comedy Central. Note the dialogue below from Achmed the Dead Terrorist:
Compare Jeff Dunham's face in the first picture - where he was addressing the audience as himself - to the tight-lipped, dead-faced version in the other pictures. Then watch the trailer (linked above) and see how Jeff Dunham holds his face while speaking through his characters. (Note also the detail of Jeff's arm reaching into Achmed's back, where the controls are located.)
Here is the character Walter. Note the elements in this picture - the coffee cup, the Christmas tree, the microphone. There's probably plenty of other stuff I'm not noticing.
When I was a kid I used to watch Edgar Bergen on TV and marvel at his skill at creating characters like Charlie McCarthy and Mortimer Snerd. There were other ventriloquists active back then, like Wayland Flowers and Madam, Shari Lewis and Lambchop, and Rod Hull and Emu - some technically better, some who made no effort to keep their lips from moving. It's good to know there are people still carrying on this art, and that kids still find it fascinating and funny.