A hole is an empty space in what should otherwise be a solid surface. A hole in a wall, a hole in the ground, a hole in the head; oh wait, that's another matter altogether.
If something is whole, it is complete and not broken; you are referring to the entirety of the object in question.
A whole hole would be the complete empty space.
Holey means that the object in question has a lot of separate empty spaces. Think Swiss cheese.
Holy (without the "e") is something which is held to be sacred to a group of people. It is usually used in terms of religion, although different religious groups hold different things to be sacred.
Wholly means completely.
Therefore, "Holy Cow" would refer to a sacred bovine; "Wholly Cow" means 100% beef; and "Holey Cow" means you ought to call the veterinarian.