What are the holes on the backs of MegaBlocks Call of Duty characters for?
The hole on the back of the figures is mostly used for backpacks and other accessories as shown here in the figure on the left:



In addition, it is also used sometimes to secure the figures into position. For example, in some open cockpit vehicles there is a peg at the back of the seats, that the hole on the back of the figures can attach to. This keeps the figures more secure in their position.