There are two types of walls : Palisades and Medieval Wall
PALISADES are flammable, so not very good as defense, but it's good for starters. There also great for containing stuff.
2 Walls > Palisade Set
MEDIEVAL WALLS are imprenetable defense that requires massive ammount of gunpowder to break through, and is not flammable, perfect for making castles and forts and citadels. It also includes a gate.
2 Med Rocks > M.Wall Set