What is the purpose for the holes in the prongs on an electrical plug?

To dissipate the heat generated by the flow of electricity. Originally there were little nubbins inside the 'female' connector (i.e., the socket) that clicked onto the holes when the plug was shoved in to keep it from pulling out. UL won't OK a socket if a plug comes out with a pull of less than three pounds. But nubbins aren't needed anymore because of improved socket design, and now the holes are just a manufacturing convenience.

There are three reasons for the holes:

If you were to take apart an outlet and look at the contact wipers that the prongs slide into, you would find that they have have bumps on them. These bumps fit into the holes so that the outlet can grip the plug’s prongs more firmly. This detenting prevents the plug from slipping out of the socket due to the weight of the plug and cord.

A manufacturer might apply a plastic band through the hole and attach it to a tag that says, "You must do blah blah blah before plugging in this device." The user cannot plug in the device without removing the tag, so the user is sure to see the instructions.

There also is a small savings in raw materials (metal) for the manufacturer of the actual plug prong. Every little bit helps!

http://www.howstuffworks.com/question301.htm

It should be noted that this applies to US plugs. UK plugs have three solid pins on them and should not have holes.
http://www.bbc.co.uk/dna/h2g2/A1004400

The UK system has a safety feature in that the pins carrying the live and neutral cannot enter the socket until the earth (ground) pin is in. Even where the equipment needs no earth connection, a third pin is still present. The live part of the socket is protected by a flap moved by the earth pin.