There seldom is a question that isn't answered starting with "It depends"... Especially these type of questions...
Seriously, it depends on your situation, and the type of bearing you're talking about. For steel ball bearings, there is a huge difference. If you're getting ceramic, AFAIK there's really only one wall material.
I've seen teflon and metal wall/seal bearings, so I'll talk about those for now.
Teflon: self-sealing, in many cases self-lubricating or permanently lubricated, these bearings have more rolling resistance than any other type of ball bearing. But, they're virtually maintenance-free, and they're infinitely better than bushings. Their rated life is also a bit shorter since the Teflon is softer than other types of plastics or metal walls. They're must-haves when your bearings are hard to get to (example, my TL-01LA, which requires complete disassembly of the chassis to get at the front gears). Drop em in once and forget about em for a few months or even a year. They're that simple. They're also great for a sport hop-up on a basher or practice car, and a must for any exposed bearings on a car you'll be driving around outside or offroad.
Metal: Very free-spinning, friction determined by the lubricant you use. Life of the bearing is also determined by the viscosity of the lubricant, as thicker lubes do a better job of protecting the inner surfaces of the bearing from particles. So, thinner stuff is faster, but thicker stuff stays in better and protects better. The key is finding a good balance for you in terms of how fast you need to go vs how much maintenance you're willing to do on your chassis. If your bearings can be removed or accessed with little fuss, these are your boys.
There are also ceramics, which are VERY free-spinning and low-maintenance, but they are VERY expensive and can still jam if a larger particle is wedged in the bearing.