Fence can only be placed outdoors. It behaves just like any other wall, requiring a gap or a door to pass through, and prisoners can tunnel under it without resistance. When paired with a Road Gate, it's very resistant to escaping prisoners.
As of Alpha 23, Fence Walls now cost $3 per Square. Rather than for free prior Alpha 23.
Brick Wall can be placed both indoors and outdoors and costs $50 per square.
Concrete Wall can be placed both indoors and outdoors and costs $50 per square.
Perimeter Wall is very tall and goes deep underground, making it the main defense against tunnels, aside from preventing them from happening in the first place. It takes a prisoner significantly longer to tunnel under a perimeter wall, so they will avoid it if possible, but it is still possible for tunnels to go through it. They costs $200 per square, four times what brick and concrete cost, and will automatically have paving stones built on either side of the wall, if it can be. This can be later removed.
Utilities such as cables and pipes can not go under a perimeter wall and will be automatically removed if you try to place a perimeter wall on top of an already built utility.
Sometimes Perimeter Wall only costs 150$ per square (buggy!?). If you clone the wallsection, it only costs you 50$ per square same as the other walls, but it still has the same increased escapist retention (tested).