Here’s my problem, I make a cube, then stretch it to make a wall, then I want to take a cylinder and cut a circular hole in the wall. The problem is, when I use booleans, all it does is creates a new mesh from the intersection points on the two objects, but doesn’t cut a hole in the wall. How do I cut a hole in the wall? I’ve already considered the possibility of using a curve circle to cut the holes in a poly converted nurbs curve, but that won’t really work for the project I’m considering. I need to know a good polygon method for doing this.
Take your wall,…delete the vertices/faces where you want the hole to go,…position a circle where you want your hole, join the objects, select the vertices of the circle, and select the vertices of the wall that are closest to the circle, and press ‘shift F’. It will then fill up the empty space with triangles, and you should have a nice hole for your wall.
Booleans have three options, which one you use? the right one is SUBTRACT
RTFM (Read The Fantastic Manual) www.blender.org -> Documentation
Do as Modron’s says if you are really desperate 
Stefano
I admit it,…I’m not boolean savvy. 
Booleans are messy in general. Try to model around the problem instead:
- Add a bezier circle.
- With all the verticies selected hit “v” to make the edges straight.
- Rotate all the verticies 45 degrees to “line it up” with the viewport
- Scale the verticies to the size you want the square
- Still in edit mode, add another bezier circle.
- Leave edit mode, go to the edit buttons and extrude your shape to the desired thickness.
This method also lets you add a nice little bevel to your object.
For simple shapes and/or the very last step of modeling booleans are ok.
(provided that you can render the model set to solid and forget about subsurf-modeling)
Just make sure that all faces normals are outside (Ctrl+N in Edit mode all vertices elected).
To make a hole use the DIFFERENCE (to be picky, not SUBTRACT 
).
First select the basic shape, second the hole shape.
(basic - hole = basic with hole
hole - basic = hole without basic)
The more elegant way for planar shapes like walls is the described method using curves.
The different handler types allow to model any hole shape you want.
Instead of beveling you can convert this curve object to a mesh (Alt+C) and extrude to your desired shape.
For holes in irregular (non planar) shapes good planing is the best way.
(Model your basic shape around the hole and try to aviod cutting the hole when your detailed basic shape is almost finished.)
Which method is best depends on the concrete model.