Pillarless wall is to save wood [if you don't build the pillar you don't lose the extra wood] and decrease enemy siege damage on your wall [when a pillar is broken, the two wall sections that it connects to will fall down].

Begin walling after Age V (when you already settle down with eco) when you have about 15-20 minutes left. Don't be too late like 5 mins before the treaty ends, it will leave your base highly vulnerable if you don't have enough time to finish your wall.

Don't put the walls too close together, which allows the splash/area attack from a mortar/oprichnik/doppelsoldner/gendarme... to damage multiple sections and also any units that may be defending from within the walls.

To make gate on fragmented small/short wall section, first click on a long/large section, press shift, and then select the small/short section, after which the gate icon can be clicked to make gate on both sections.

Don't drag the mouse over everything and then press the gate icon. The problem with this is twofold: not only does it cost a large amount of wood (gating a pillar costs as much as gating a wall section) but it also makes the walls more susceptible to mortar/siege. If that gated wall area is attacked, a long section of the entire wall will also fall.

Don't make gate on an unbuilt or partially built wall section by shift-clicking/select all wall. These gated unbuilt sections will have zero (or low if partially built) hitpoints and cannot be either repaired or actually built once gated. Such walls should be deleted and rebuilt, if not, they are useless in defending your empire because with just one touch from the enemy the wall will fall.

Be careful if you have villager cutting tree/mining or having treasure within your walls, it can create dangerous hole for your enemy to take advantage of. So you should clear the tree/mine/treasure before building or build more wall around it.

It's also worth to notice that sometimes the gap left by pillar is big enough for unit to get through, especially if your wall is straight [the angle of circular wall helps to make it smaller],  for extra caution, you can build more pillared walls behind your pillarless wall.

The more walls the better when you face civ with crazy siege box [Aztecs Skull Knight followed by stealthy Jaguar Prowl Knight, Russian Opri, French Gendarme, German Dop, Japan Hatamoto/Samurai, Sioux Dog Soldier].

Always allow space for enough barrack, stable, artillery foundry behind your wall, wall can significantly slow your enemy advance but wall alone can't save your ass.