The Hole is where the Rabbit wakes up at the beginning of Alice is Dead. It is also where he finds Alice's body. There is a view of the skies of The Above by looking up in the hole, and there is also a small door that cannot be accessed in the game. The song Hush, Hush, Hush can slightly be heard, though it is actually being played from Wonderland Forest, which can be accessed through a chest in the hole.
Someone also wrote cryptic messages on the wall that don't appear to mean anything except to the Rabbit. This may have been Alice or the Rabbit, himself.