Walls block the way and connect to each other. Like fences, they are one block tall and can't prevent players to jump over, and used as decorative block. There are several kinds of walls which only differ in their appearance and crafting material:
Cobblestone walls are made from cobblestone, a renewable resource.
If a cobblestone wall is long enough near water (or river water), it turns into a mossy cobblestone wall. So these walls are renewable, too.
As a crafting ingredient
All walls have all the crafting recipes of “stone” group. Yes, you can actually craft furnaces, stone pickaxes, etc. out of walls.