Why do some pilot jets have little holes on the side and some don't?  What do the little holes do?

For the stock carb on the S40/LS650 the holes don't do anything.  A #50 with holes works just like a #50 without holes.  

For carbs like the Mikuni VM36 the holes allow air to enter and change the idle fuel/air mix.  When you turn the idle air screw on the VM36 it controls how much air can enter these bleed holes.