In Wall, you and your friends (at current time of writing, others too) are able to leave a comment on your Profile Page. You will only see the comments if you have added the Walls application. Go to Application ---> Edit, and add the Walls application.

You can post Youtube videos by typing {youtube}...{/youtube}

To paste the Youtube video on the Wall, you do this

{youtube}voYkKxSPkfw{/youtube}