A garden wall in brick or stone may be more expensive than a fence, but it'll weather attractively and last a lifetime. You'll need planning permission for any wall over 1 metre high on the edge of a public highway, and for any free-standing wall over 2 metres high. You may well need a structural engineer's specification for large retaining walls - but you shouldn't really be attempting these anyway without some experience on less ambitious building projects.

Although the techniques for building a wall are pretty straightforward, you'll need to plan and design it properly if it's to be strong and stable. The design of your wall will depend to a large extent on what you're using it for.