Therere are choroid plexus cysts on my baby's ultrasound. Does that mean holes in the brain? What else?

No. Choroid plexus cyst is usually normal. Read this: http://downsyndrome.About.Com/od/whatcausesdownsyndrome/a/uscpc_ro.Htm.
Usually benign. The choroid plexus is a normal structure in the fetal brain, that makes the cerebrospinal fluid. Cysts can appear and disappear within the choroid and it usually is normal, but if there are a lot of cysts then testing for down's or similar syndromes may be a good idea.