People put up walls all the time to keep things in or out. There are lots of different kinds of walls; The Berlin Wall comes to mind, the walls of Jericho, even Pink Floyd has a Wall. What about a retaining wall? Do you have a retaining wall? Do you really need one?
Experts say yes if your property has a slope to it. The top reason for that is to basically control erosion of your property by channelling runoff water a certain way. How big is a retaining wall? Well, that's like asking how big is a piece of string. Size varies depending on what you need it to do. It could be as tall as 20 feet or as small as 2 feet. It just depends.
So what if your property is flat and you have no water or foundations issues? You don't need a retaining wall, right? Wrong. Take a look at your overall landscaping. Retaining walls can be aesthetically pleasing and can give variety to your otherwise boring yard. Tiered yards give a look of definition, perhaps a raised garden. Or if you have a very large backyard, a retaining wall can break up the blank slate if you will, and simply add interest. Think of it this way; when you go outside to a tiered backyard that you have never been to before, the first thing you do is walk towards that wall to see what is on the other side, maybe go down a few steps to the "second" part of the yard. It's only natural to want to explore.
If you think your yard is boring, then it probably is. Consider breaking it up by putting in a nice retaining wall to give it interest. Pink Floyd did it, and what an interesting "wall" that is.