I can't speak for other cities, but it might surprise you to know that although New York isn't protected by a wall now (imagine that), at one point it used to be!

In 1653, the Dutch West India Company began construction of a defensive palisade along what was then the northern edge of the city. Built by company slaves, it was comprised of 6-foot logs sharpened on the ends; later improvements increased its height. Company soldiers patrolled the wall between the gates (one at Broadway, another at Pearl Street), and the street next to it earned the name "de Waal Straat," later anglicized to Wall Street.

Although New Amsterdam had problems with the surrounding native American tribes, the palisade was actually meant to keep out a much more menacing enemy: the British (it also did double duty keeping roaming hogs outside the city). New England was a constant looming presence, as its old boundary was the Connecticut River; on the western side was New Netherland and they were hungrily eyeing that land. Of course, the wall didn't do much in 1664 when Stuyvesant handed over New Amsterdam to the British without so much as a shot fired, and the city became New York. The British left the wall up until 1699, when it was torn down and the space used for buildings. Another less well known palisade was erected across lower Manhattan in 1776 when George Washington was still planning to try and defend the city, but the Americans were forced to retreat uptown and it was never used.

Again, I can't speak to other cities (although I am eager to see what other people say), but I wanted to give you some more information about New York, as you mentioned it in particular.