Why do the bricks used in constructing houses come with three holes in them?

The holes are for the mortar to sink into and provide a higher bonding strength when building walls and such.

A cynical view is that it saves clay and cuts the fuel cost of delivery by making the bricks lighter. A similar view can be applied to frogged bricks (the ones with the indentation on one face). The load bearing of a brick is almost always downwards, and if greater sideways resistance is needed, there is probably something wrong. The mortar is there to distribute the load evenly through the construction. (Source: J.E. Gordon, 'Structures: Why things don't fall down')

Similar to Baloo's post:

The introduction of holes reduces the needed volume of clay through the whole process, with the consequent reduction in cost. The bricks are lighter and easier to handle, and have thermal properties different from solid bricks. The cut bricks are hardened by drying for between 20 and 40 hours at 50-150 °C before being fired. The heat for drying is often waste heat from the kiln. European style extruded bricks / blocks are use in single wall construction with an applied finish inside and outside. They have many voids, the voids being a greater fraction than the solid, with thin walls of fired clay and come in 15-25-30-42-50 cm widths. Some models have very high thermal performance suitable for Passivhaus type buildings.

https://en.wikipedia.org/wiki/Brick

There are two types of bricks: paving bricks that do not have holes and structural building bricks that have 2-3 holes in each brick. Structural bricks, used for building walls and foundations, are extruded, wire-cut bricks with holes so that the brick is evenly fired. The holes in structural building bricks provide greater stability to walls, foundations, chimneys and other structures. Building bricks can be used for patio or outdoor structures such as planters, barbecue pits, benches and other non-flooring applications. Because they have holes, they are intended to be used to build up--one on top of another--rather than to be laid out flat for flooring or paving applications.

http://www.ehow.com/how_5032677_use-bricks-holes.html

Some good reasons from the Seatle Times:

1. Holes save raw materials for the manufacturer.

2. The holes make the bricks weigh less.

3. Holes allow a consistent heat distribution throughout the brick when it is cooking in the kiln, resulting in a thorough and even cure.

4. Most important, the holes allow the masonry structure to be built more securely. The brick is turned during construction (you won't see the holes on the finished product) allowing mortar to fall inside. These holes, filled with mortar provide a "keyway," locking one brick to the next. The holes can also accommodate rebar if needed.

http://community.seattletimes.nwsource.com/archive/?date=20030330&slug=homehay30