GHC implements Haskell as a graph reduction machine. Imagine your program as a graph with each value as a node, and lines from it to each value that value depends on. Except, we're lazy, so you really start with just one node -- and to evaluate that node, GHC has to "enter" it and open it up to a function with arguments. It then replaces the function call with the body of the function, and attempts to reduce it enough to get it into head normal form, etc.
The above being very handwavy and I'm sure eliding some necessary detail in the interest of brevity.
In any case, when GHC enters a value, it generally replaces it with a black hole while the node is being evaluated (or, depending on your terminology, while the closure is being reduced) This has a number of purposes. First, it plugs a potential space leak. If the node references a value which is used nowhere else, the black hole allows that value to be garbage-collected even while the node is being evaluated. Second, this prevents certain types of duplicate work, since in a multi-threaded environment, two threads may attempt to enter the same value. The black-hole will cause the second thread to block rather than evaluate the value already being evaluated. Finally, this happens to allow for a limited form of loop detection, since if a thread attempts to re-enter its own black hole, we can throw an exception.
Here's a bit of a more metaphorical explanation. If I have a series of instructions that moves a turtle (in logo) around the screen, there's no one way to tell what shape they will produce, or whether that shape terminates without running them. But if, while running them, I notice that the path of the turtle has crossed itself, I can indicate to the user "aha! the turtle has crossed its path!" So I know that the turtle has reached a spot it has been before -- if the path is a circuit through evaluating the nodes of a graph, then that tells us we're in a loop. However, the turtle can also go in, for example, an expanding spiral. And it will never terminate, but it will also never cross its prior path.
So, because of the use of black holes, for multiple reasons, we have some notion of a marked "path" that evaluation has followed. And if the path crosses itself, we can tell and throw an exception. However, there are a million ways for things to diverge that don't involve the path crossing itself. And in those cases, we can't tell, and don't throw an exception.
For super-geeky technical detail about the current implementation of black holes, see Simon Marlow's talk from the recent Haskell Implementors Workshop, "Scheduling Lazy Evaluation on Multicore" at the bottom of http://haskell.org/haskellwiki/HaskellImplementorsWorkshop/2010.