The Wall is a 700 foot high wall made of ice, that stretches for 300 across the northern border of Westeros. The Wall is defended by members of the Night's Watch, a sworn brotherhood who dedicate their lives to defending Westeros against the creatures that live Beyond the Wall.
There are only three castles currently used by the Night's Watch: Castle Black, Eastwatch by the Sea, and the Shadow Tower. The Lord Commander, Jeor Mormont, resides at Castle Black, with Ser Denys Mallister commanding the Shadow Tower, and Cotter Pyke commanding Eastwatch by the Sea.
The Night's Watch have held the Wall against the White Walkers, only armed with iron and steel. They have no choice but to hold the Wall until the noble families of Westeros find their ancient weapons, to help defend the realm.