In this amazing video from NASA's Solar Dynamics Observatory (SDO), an enormous square hole appears in the Sun. Of course, this isn't really a "hole" per se. It just looks like one. The SDO notes that these structures are actually patches of cooler and darker corona where solar winds are active. Ultimately, a coronal hole is an area on the Sun where high-speed solar wind stream into space. These holes appear dark in extreme ultraviolet light, as there is less material to emit in these wavelengths.
The process governing these beasts is really rather simple. The massive holes appear on the surface of our star because of breaks in magnetic field lines. The outside of a hole is ringed with open magnetic field lines stretching into space. Ordinarily, these lines keep the Sun in check, trapping the star's plasma and forcing it to keep its form; however, because of the break, instead of trapping plasma, the gap in the magnetic field allows solar wind to rush out. This process of escape produces strong gusts of radiation that can impact the interplanetary magnetic field and produce aurora.