Images from the MESSENGER spacecraft show that irregular, flat-floored depressions with high-reflectance interiors and haloes are common on the surface of planet Mercury. These landforms, called hollows, are among Mercury's youngest non-impact features and may be forming today. Hollows are unique to Mercury, with no close equivalent on other planetary bodies. Clues to understanding hollows come from consideration of morphological features associated with ice-bearing surfaces on Mars and icy satellites, and of processes leading to loss of sulfur from asteroids. Evidence suggests that hollows form when sublimation or destruction of a volatile-bearing phase weakens the host rock, causing collapse and scarp retreat. The phase susceptible to loss may be a sulfide mineral or graphite. Loss of the volatile component could be driven by solar heating, exposure to solar ultraviolet radiation, exposure to the solar wind, sputtering by magnetospheric ions, and micrometeoroid bombardment. The depth to which hollows grow may be controlled by accumulation of a protective lag deposit. The volatile-bearing phase that is lost appears to be a pervasive component of the host rock, but in some cases the hollow-forming phase may have been concentrated by volcanic processes or differentiation of impact melts.