Holy of Holies is a must have for squishy Mages who want to deal a lot of damage and/or get a lot of HP. However, the item is the most expensive item in the game. The time to buy the item heavily depends on the hero you are playing. You generally want to buy the item after a powerspike. If you attempt to build it before, then you would hit your powerspike, but be down perhaps an item and passive abilities because of Holy of Holies' high cost. You could have built a cheaper, but more cost-efficient item before your powerspike so your powerspike is even higher.
Pros: High Ability Power, Huge HP Boost