A wall is a physical limiter on a stage. It is analogous to the corner found in most 2D games, but a wall is actually depicted, and maybe can actually be interacted with; thus, walls are more characteristic of 3D games, though a few 2D games make use of them as well.
Because you cannot go further back than the wall allows, you are generally at a disadvantage when your back is up against it.
Endless fields do not have walls. Some stages may have walls only on some sides. Some games combine or replace walls with the edge of a ring. Moreover, some walls are destructible (which is especially true of the 2D games that have them).
In many 3D fighting games, hitting a wall while being blown away puts one in a special state for getting hit, and can cause a time lag until you fall to the ground. Using this, it is possible for the aggressor to put together a certain kind of combo limited to this situation: the so-called wall combo.