This is one of those questions that's always low-level bothered me, but never enough for me to actually expend effort finding out what the answer was (in cases like this I'm usually content to just assume the answer is "some dumb legacy thing" and get on with my life, but I started this blog partially so I'd stop doing things like that). At least here in the US, 99% of consumer-grade electrical plugs have ~2mm wide holes bored into the hot and cold prongs. See the technical diagram below if you don't know what I'm talking about:
They don't serve any purpose that I can think of, but since it must cost more to manufacture plugs with them than without them they must have at least a mildly compelling reason to exist, right? And that reason probably isn't "to make it easy to attach wires to them for incredibly unsafe DIY electrical work" either, although they are handy for that.
You would think that being a person who gets paid to do things involving electronics I'd have taken apart at least one electrical outlet in my life, or at least smashed it open to see what was inside (my standard method for doing science from ages 8-31). Apparently not though, because if I had I'd know there were little leaf-spring-loaded knobs inside modern electrical sockets that lightly latch into the plug-holes when you plug something in. They don't really "lock" as much as "add a little extra force holding the plug in," so you can do things like plug into a ceiling socket without gravity unplugging you. The contacts inside an electrical socket are also tapered so they'll "grab" the plug blades a little bit, but that will eventually wear out. If you've ever tried to keep a hole-less plug plugged into an older/crappier outlet, or even a holed plug plugged into an outlet so old it doesn't have the knob assembly, you'll probably notice that they fall out much more easily (I just tested this a second ago; handily, most AC USB chargers don't seem to be made with holes in the plugs these days, probably because they're light and have no hardwired cord).
Amazingly, even Wikipedia didn't know this one. I had to go to some random techie message board to figure it out, unfortunately depriving me of the opportunity to smash open an outlet and empirically determine the answer. I might do it anyway though, just to be sure.