The May/June issue of MRH Magazine had an article about making retaining walls from rigid extruded foam, the same material that so many of us use for sub-roadbed these days. The author used 2-inch pink foam for his HO-scale walls.
For my N-scale layout, using 2-inch foam seemed like overkill, so I used 0.25-inch blue foam, which is available at many of the same places that sell the 2-inch stuff. Otherwise, I used the same techniques as described in the article.
The curved retaining wall below is 53-feet long by 26 feet high in N-scale. It took about 10 minutes to make the wall and about twice that to paint and weather it, allowing for drying time between applications of paint. The rough texture of the foam gives a fairly realistic look to the stones, at least to my eyes. And you can't beat the price!
I think I can do a better job of painting and weathering, and I'll need to make some top caps, but I'm pretty happy with my first attempts.
And a slightly smaller straight wall.