Are we talking about holes in the sense of semiconductor physics (an empty spot in the valence band of an atom), or holes in the sense of antiparticles (the "void in the Dirac Sea" idea)? I'm not enormously familiar with the former, but the latter can be explicitly modeled as particles in all ways, so they have spin just like normal electrons do.
Even in the case of the former, I would surmise that it must be able to have spin, just by a conservation argument. A hole and an electron can come together and annihilate each other, leaving nothing behind, right? An electron has spin, which means it has a definite amount of angular momentum. If a hole had no spin, then after annihilation, there would be less angular momentum in the universe than there was before. Therefore, we can conclude that not only does a hole have spin, but it must also be equal and opposite to that of the electron if angular momentum is to be conserved.