A wall is a group of pieces forming a straight line inside the board. Walls are strategically strong because they can serve as edges within the board, allowing edge templates to be played with the walls as support.
A popular way to create a wall is to ladder in the "wrong direction". The example below shows the lower part of a board:
Now Red connects the pieces to the left. The newly created wall can come in handy as play goes on near the top of the board (not shown here).
Note that this illustrates suboptimal play by Blue. Since Red already has a connection to the bottom, Blue should not play the ladder allowing Red to set up a wall.
A wall can contain one-cell holes without affecting its function, as long as the whole wall is a single group. The holes may be empty or occupied by the opponent.