A fence is the most popular way of marking a boundary. It's fairly easy to put one up and it's cheaper than building a wall (although you will have to pay for the costs of treating the timber regularly to protect it against weathering).
If privacy is important to you, there are plenty of options (particularly lap panel and closeboard fences) that'll give you good screening. If there are strong prevailing winds where you're planning to put your fence, try to choose one with an open rather than solid structure (like a picket fence), so it doesn't blow down.
Lap panel fences
Lap panel fences are popular because they're easy to put up, provide loads of screening and offer great value for money. The ready-made panels fit between posts that are cemented into the ground. These panels usually come in standard widths of 1.83m (although you can cut them down if you want to) and heights of 0.6m-1.83m. Try and treat your fence regularly with a wood preservative to keep it looking good.
Combination trellis and lap panel fences
You can add a trellis to the top of a panel fence to increase its height. Why not train climbing plants on the trellis? This creates a less stark effect than a solid fence, and gives you more shade and privacy too.
A closeboard fence is made from vertical boards that are tapered on one side. These are nailed onto horizontal arris rails secured to the posts. It gives you plenty of screening, and security too - the vertical boards make a sturdy fence that helps keep intruders out.
Picket fences are made from a row of vertical pales with rounded or pointed tops. As they're usually no more than 1.2 high, you'll normally see them used at the front of a house as an attractive boundary mark rather than for screening.
Willow or hazel panel fences
Panels of interwoven willow or hazel look gorgeous in a cottage garden, giving it a rustic and informal feel.