I myself use a white wall. The main drawback to it that I see is that it tends not to smooth the image as much as a real screen, making screen door visible at distances where it wouldn't be if I use a real screen. But that isn't a huge deal, as I sit back at a range where screen door isn't visible either way. I bought Behr flat white paint at home depot, and used four coats (over a dark wall), sanding after each coat, and painted myself a 117" diagonal 16:9 rectangle.
I bought some blackout cloth and played around with it. The image was nice, but the size was a serious constraint. I couldn't go nearly as large as I wanted to without having a visible seam. I didn't see a big image difference between the blackout cloth and the white wall anyway.
Be wary of the DIY screen forum at AVS. You can get some great advice there, but there are an awful lot of obsessive crackpots that must have been alchemists in a past life ("Add just one teaspoon of Heinz Ketchup to your white paint to counteract the green shift in your lens. We call this Pennsylvania Paste. Then buy eight cans of silver spray paint. Now alternate a spray paint layer with a layer of Pennsylvania Paste, for a total of 58 layers, over a silver hand mirror. Sand each layer in a way so that the total thickness of all layers is 5". You may need to do this several times before you get the thickness right. While doing this, stand on one leg, while swinging a dead cat in your left hand, in homage to Grzboken, the patron demon of Home Theater. And whatever you do, Don't forget to stir each can of paint exactly 167 times!!!)"