From Wikipedia:
On the East Course, all pins are topped with wicker baskets instead of the usual flags. As one story goes, when Hugh Wilson was in England studying their golf courses, he happened upon local sheep herders and their flocks. These shepherds held staffs that they used for herding, and the staffs all had wicker baskets at the top. In those baskets, they kept their lunch for the day so that no animals could get into it. Wilson decided to use the idea at Merion, though the exact origin has never been fully verified.[17] One effect is that the baskets are visible no matter which way the wind is blowing but they do not give the golfer any indication of wind direction at the green. They have been used since at least 1916,[17] and are featured in the club's logo.[18]
Up until around 1980, the wicker baskets were made on site by a member of the grounds crew staff. Since then, a woman, whose name and location in South Carolina are purposely kept anonymous, creates the current baskets.[19] Anyone who wins a USGA event at Merion receives a wicker basket top. Wickers are destroyed if the wicker baskets are broken. The golf course assistant superintendents collect the wickers every night, so they will not be stolen.[19]