The Extrude object extrudes a spline to create an object with depth. The extruded object appears as soon as you drop the spline into the Extrude object in the Object Manager.

You can also use splines to cut out holes. If, for example, a single spline object has two segments (an outer circle and an inner circle), the inner circle will be interpreted as a hole. CINEMA 4D detects hole splines automatically.

Before extrusion …

… and after extrusion

Note also the Spline Mask, which can be used to combine (join, break, etc.) splines (Primitives in particular), which makes a comprehensive parametric workflow possible.