Hello there,
now there is Unity 5, is there an new way to dig Holes in the Terrain (for some Caves) rather then use an DepthMask Shader like: http://wiki.unity3d.com/index.php?title=DepthMask ?
Sorry but not change on the terrain front (except for speedtree integration).
Still no native support for holes in terrain.
Maybe this works with unity 5
As of 06/27/2018, standard Unity terrains are still simple, heightmap based, terrains. So you cannot truly dig holes in it.
If you want to dig true holes in your terrain as well as creating caves, you need a voxel terrain engine.
See this answer for a list of existing voxel terrain solutions.
I’m personally developing Ultimate Terrains, but there are others which are good too.