There are three parts in most airline windows.

First is the inner layer, which is the dust or scratch cover. It keeps people from poking or scratching the real window.

Behind that are two other panes that make up the main part of the window.

They're two, half-inch thick pieces of plexiglass, and they're separated by about a half an inch of air.

The middle pane has that hole. It's sometimes called the breather hole.

There are two purposes for the hole.

One, the hole lets warm air in between the 2 panes keeping the outer window from getting frosted or fogged up from the really cool air outside.

Two, when the plane ascends and descends, the air pressure on the window changes.

That little breather hole keeps the pressure inside those two panes the same, so they don't implode or explode. That's what the hole is for!