Scout and Jem have become utterly fascinated with Arthur "Boo" Radley. Or, to be more precise, they've become fascinated with the legend of Boo Radley, constructed out of tidbits of local gossip and hearsay over many years.
To them, as with just about everyone else in Maycomb, Boo is a scary boogie-man figure, a crazy recluse whose imagined home life provides the Finch children and their friend Dill with plenty of raw materials for their little games.
But when Boo starts leaving little gifts for the children in the knothole of a tree on the Radleys' property, Scout and Jem begin to see a different side of him. Contrary to what the people of Maycomb might think, Boo really isn't some kind of scary monster; he's actually quite a kind, gentle soul, as subsequent events will confirm.
In putting these keepsakes where he knows that Scout and Jem will find them, Boo's establishing a communication link with the outside world, something he's never done before. This in itself is significant, given his reputation in town as a total recluse.
It's somewhat tragic, then, when Boo's brother Nathan fills up the knothole in the tree with cement. In doing so, he's closing down the communication link between his brother and the Finch children.