What do you call these?
Please provide a reliable source with your answer.
It's a battlement or crenellation. This consists of a parapet (a short wall on top of a roof) with cops or merlons (the solid parts) and crenels or embrasures (the parts you can look through or fire arrows through).
Those links are all to Wikipedia, which I know you might not consider a reliable source (although all of those articles contain references). So, here's the Oxford English Dictionary's definition of battlement:
Also, you can read the entry for battlement in the 1911 edition of the Encyclopedia Britannica. You can also take a look at a page all about parts of castles in the Middle Ages for some related vocabulary.
The cutouts you highlighted are called battlements.
The definition: Fighting position on the top of towers and along the wall, with crenelated walls to protect the defenders.
The specific word for this would be merlon:
A battlement is made out of a:
A crenel is defined as:
Thus, in a battlement, there are merlons (specifically, the parts sticking out), and crenels (the spaces in between these merlons).