You can build a retaining wall very high but many times you are limited by zoning ordinances. Also, if you build it over 4 feet high, most communities will require fencing at the top to make sure no one falls off it. Check with your local official. Good luck!
First of all, it depends on what you want to retain. For example, if you want to hold back a dirt mound that is four feet high than you need at least a four and a half foot wall. Also, you need to check with your local codes to see what they require as far as footings and possibly fencing.