By definition it is simply when one's socks or stockings becomet wet or damp. It is, however, "the most horrendous thing." As a result, many things that are bad can be compared to having "wet sox." This is similiar to how zero degrees Kelvin is absolute zero and everything else is higher. In the same way, how close things are to havng wet sox determines how bad the situation is.
My dog got ran over by a car, which was my wifes, which blew a tire, which messed up the allignment, and when we took it to the shop it was stolen along with my ipod that was in the glove box... at least I don't have Wet Sox.