A sinkhole is a depression in the ground that has no natural external surface drainage. Basically, this means that when it rains, all of the water stays inside the sinkhole and typically drains into the subsurface.
Sinkholes are most common in what geologists call, “karst terrain.” These are regions where the types of rock below the land surface can naturally be dissolved by groundwater circulating through them. Soluble rocks include salt beds and domes, gypsum, limestone and other carbonate rock. Florida, for instance, is an area largely underlain by limestone and is highly susceptible to sinkholes.
When water from rainfall moves down through the soil, these types of rock begin to dissolve. This creates underground spaces and caverns.
Sinkholes are dramatic because the land usually stays intact for a period of time until the underground spaces just get too big. If there is not enough support for the land above the spaces, then a sudden collapse of the land surface can occur.
Learn more: USGS Water Science School - Sinkholes