There are lots of ways to do this. Painting it a bolder, contrasting color than you paint the other walls of the room is just one way to make a bold statement. There are lots of painting techniques that can be used as well, such as ragging, color washing, combing, stamping, sponging on, and sponging off. I used a large stencil design in my bedroom to create this feature wall and I love it.
Wallpaper is another great option and you can find some really beautiful patterns. If you do decide on wall paper make sure you buy strippable paper, it will make things easier if you decide you want to take it down at some point in the future. Always use a wallpaper primer before you apply the paper. Don't buy a pattern that will make it harder for you to incorporate your existing room colors, furniture, and accessories. You could divide the wall up behind a bed by putting up a wall treatment of some kind directly behind the wall and use wood trim pieces along the edges. This will really add drama and appeal to the room. If you're someone who changes your furniture around, this would not be a good idea.
Wood flooring planks hung horizontally make for an interesting and attractive look as well. You could also find some old door panels and repaint them or use them as is for a rustic look. Shutter doors work great too. Simply hang them side by side. I've also seen people use wood planks that are stained and hung in various heights side by side. You could even finish them in different shades of stain finishes. Bead board and shiplap are some more great wood options for your walls.
Faux brick or rock wall designs are great for bringing in the outdoors. Although they are usually used for the fireplace, they are becoming a wonderful addition for making a statement in any room. Many people use them for bar or recreation areas in their homes but they would make for a really nice rustic feature wall as well in a living room, kitchen, or family room.
If your room is small, use various size mirrors, or one very large mirror to make the room look larger. These mirrors can be yard sale finds or store bought, and can make for some real fun when you're searching for your ideal pieces. Don't get too hung up on finishes. You can mix and match different frame finishes to make the look a lot more interesting. You could also have mirrors made to fit the entire wall if you wish. A collage of family photos or art work can add appeal and interest to a large wall as well.
If you're an avid reader and like to actually hold a printed book in your hand and keep it afterward, think about a wall of book cases. They are great for displaying your nick knacks and family pictures and add a great amount of extra space for your collections.
It's all a matter of taste. Just remember that the feature wall should contain colors or items that really stand out and draw the attention of visitors as soon as they enter the room. Have fun with your ideas and you'll find that creating a feature wall in your rooms can be anything from dramatic, to calming, depending on your choices.