[grilledcat]

According to this donut website, in the past, people ran the risk of dying if the holes were removed from donuts:

In the days when fried cakes ruled the earth, life was harsh. The cakes were difficult to fry all the way through which often left a gooey doughy center. The doughy unfried cake center often carried deadly diseases such as the bubonic plague and anthrax. Thousands of people and twelve bakers (the baker's dozen) died from eating unfried cakes. Still, people ate and ate not knowing if their next fried cake would be the last.

So that's why donuts need holes.