A wall is a kind of formation in the game of Go (Wei Qi/Badouk). As one would expect, it consists of a number of stones of the same colour in a more or less straight line, without breaks. It's a little more specific than that, though, because a wall requires the following two additional properties:

1) If one side of it is up against the opponent's stones, the other side is not facing the edge of the goban (board).

2) It is free of obvious defects, where the opponent can easily cut through.

Therefore, in the following diagram, both players have a three-stone wall (bottom edge marked with ###, left and right edges of the board reasonably far away):

.......
..x....
..xo...
..xo...
..oo...
.......
#######

Note that the White (o) wall is still only a three-stone wall, despite the fact that it contains four stones. This is because its actual height is only 3 stones; the fourth stone is not really part of the wall. Now, contrast with the next diagram, where neither player really has a wall:

.......
.......
..xxa..
.oooxb.
...oox.
.......
#######

White's stones (o) don't actually make a wall, because they face the edge of the goban (we'd say instead that they enclose territory), and Black's (x) aren't either, because the cutting points marked a and b make the structure very weak.

Walls are usually formed as a result of a pushing battle. If the pushes are happening orthogonally to the nearest edge of the goban, both players will be forming walls. If they are happening near the edge, and parallel to it, one person will be getting a wall facing the centre of the goban, while the other will be making more-or-less secure territory along the edge.

Why does one want to build a wall? Because it radiates influence in the direction it faces. A wall generally has enough liberties that it will find a way to live, and so any friendly stones that can manage to connect to the wall will also live. Also, stones caught in the area between a wall and another enemy formation can be pressed against the wall as a potent form of attack. Thus, a wall provides a valuable asset should a fight break out nearby. This means that if you build a wall, you should probably try to pick a fight in its area of influence.

There is a common rule of thumb regarding extending from a friendly wall. It is this: if there are no enemy stones in between your stone and the wall, the optimal extension is to have n+1 empty points between your extension stone and the wall. In the following series of diagrams, ranging from a "one-stone wall" (aka a single stone) to a three-stone wall, all the extensions are ideal, according to the common wisdom of the pros.

........
........
........
..o..o..
........
........
########

........
........
..o.....
..o...o.
........
........
########

........
........
.o......
.o....o.
.o......
........
########

This rule can help to decide whether or not it is favorable to continue a pushing battle. If one has a stone already in place to serve as an extension, one might consider trying to push until the wall reaches the size necessary for the extension to be ideal. Consider the following situation:

#...........
#.de........
#.fabc......
#..xo.......
#..xo.....o.
#..xo.......
#...........
############

It is White's turn, and she wants to decide whether to continue to push at "b", hane at "a", or play tenuki (abandon the local situation and play elsewhere). Looking at her stone on the left, she sees that there are 5 empty points between it and her wall. This means that she wants a wall 4 stones high, so that her stone is ideally placed. This means it is probably worth letting Black increase his corner territory by continuing the pushing battle with a push or hane, rather than playing tenuki. As for choosing between "a" and "b", playing "b" allows Black an extra point of territory, but will be sente (retain initiative to tenuki) if Black answers at "a", "d" or "e". If White plays the hane at "a", Black will (probably) answer at "f" and White will have a cutting point to worry about at "b". If she immediately defends at "b" or continues pushing at "e", she will end in gote. Whether "a" or "b" is better probably depends on other nearby stones not shown in the diagram, as well as the number of urgent moves elsewhere on the goban.