Which regulation requires me to report entering a hold?
So, this is found in the AIM, para 5-3-3 (a)(1)(f) (PDF), assuming you're asking about FAA regulations.


  5-3-3. Additional Reports
  
  a. The following reports should be made to ATC or FSS facilities without a specific ATC request:
  
  
    1. At all times.
    
    
      [...]
      
      (f) The time and altitude or flight level upon reaching a holding fix or point to which cleared.
      
      (g) When leaving any assigned holding fix or point.
    
  


Now, the AIM is not regulatory. It uses terminology like "should" instead of "shall", which lawyers will happily jump on, and it in fact says this about itself:


  This publication, while not regulatory, provides
  information which reflects examples of operating
  techniques and procedures which may be requirements
  in other federal publications or
  regulations. It is made available solely to assist pilots
  in executing their responsibilities required by
  other publications.