6 at Orinda plays over Miner Road and at a diagonal, making for one of the best and most strategic tee shots on the course. You really need to cut that corner a bit to be able to get over the ridge on the second shot to have a view of the green for the 3rd. Great, simple hole.
Sean mentioned Anstruther's buildings, but the wall attached to one at the the 4th is brilliant IMO. If you pull a shot left or bail out away from the right side cliffs and into the 3rd fairway on the left, you have to deal with that carrying that wall and the drop-off into the sea behind. The angle is only made worse the longer your tee shot.
Just up the rail line from Prestwick, the 4th at Irvine Bogside is a short par 4 with a wall hard against the green, but this time on the left (as opposed to 1 at Prestwick). It's not as strategic a hole as that, but it's still pretty cool with how tight the wall/OB/railway is.
Less a "wall" as we know it, but the 13th at Minchinhampton Old plays diagonally (and brilliantly) over an historic "bulwark," which is a sort of large, ancient, earthen fortification wall.