Generally refers to a type of party that takes place at college -- a group of people move from house to house (or dorm to dorm) throughout the night. Each stop is known as a "hole", hence the golf metaphor.
This is usually done to avoid the breakup of the party either by the police or campus security for underage drinking, noise violations, etc.
"Hey man, are you coming to the golf party? The first hole is at David's house."