The first sentence is a kind of 'double relative' containing two relative clauses. You can imagine the full form like this: "She had this huge mug (that) she (had) made (that) she loved to drink her coffee out of." It is phrased in this way because the speaker wants to tell us that the woman owned this particular mug. This describes the situation at the time the speaker is referring to. The speaker is not giving us information about the making of the mug - this is something that had happened before the time that they are referring to. The fact that the woman had made the mug herself (at some previous unspecified time) is merely only background information to describe the mug.