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Got a picture? Personally, I'd probably screw a square of plasterboard in the hole so its sitting just below flush, then fill over that with toupret TX 110 - one fill to get the gaps mostly filled, and a second to get it level and neat. You can bevel the edges to make filling easier. Putting a watered down mix of PVA on the plasterboard in the hole and on any exposed edges where you've cut the bevel will help prevent cracking too.
@Airhead will likely have a more refined method though ;)
For what purpose - size hole, material, finish etc? Eg big exterior hole in wood or small hole in painted wall etc