Build the Corners First
If you're building a larger cinder block retaining wall, build the corners or ends first. Building from the corners provides extra stability for the wall and tends to make the process quicker. The corners must be formed correctly and solidly in order for the wall to stand. If you have a very tall wall to build, reinforce the corners with steel poles or pipes through the holes in the cinder blocks for extra support and stability.
Once your cinder block wall is complete, it's liable to look rather ugly, as all concrete block tends to be. Wait until the mortar between your blocks has dried completely, and then dress up your cinder blocks by decorating them with something that will last, like a coat of stucco or tumbled stones placed in wet concrete. Be sure to use a product or decorative element that won't add a lot of weight, as additional weight could disrupt the overall structure of your wall.
If stucco or stone is too expensive an option for you, try covering up your cinder block in another way. A coat of concrete paint in an earthy tone, like deep brown or olive green, can hide the drab gray of concrete. If you have a green thumb, instead of capping off your cinder block retaining wall, put soil in the holes in the blocks at the top of the wall, and plant climbing vines, like honeysuckle, inside. To make it easier for your plants to creep down the wall, install a thin wire fence across the surface of the wall.