Wall is the higher Health blocker of the base set; its Prompt makes it especially useful to patch your defense. Its 3 Health allows it to absorb up to 2 damage and stay alive, making it is the best absorber of the basic set alongside Steelsplitter.
Walls alone, however, do not make for a good defense as they do not provide defensive granularity. In this situation, your opponent can deny your Wall's absorb by only attacking in multiples of 3. Combining Walls with Engineers and other defenders of different Health values allows you to block any amount of damage effectively.
Wall can also be used to block immediately and die, once your opponent has enough damage for you to lose a Wall and still absorb for maximum on another Wall (or a bigger absorber such as Doomed Wall). Walls are the best base set unit for this role as well, not just for absorbing.
As a rule, try to build Prompt blocker units only when you need their Health to make it up for your defense. Building preventive defense with block units without Prompt is way more efficient as most of these units can provide you more attack (Shredder) or more health for their cost (Infusion Grid).