Answer: It really depends on the rock and how the wall will be built and used. I've constructed a number of "dry" stone walls (no concrete), with varying success. If the wall is more than 18" tall, I've had problems with frost heaving the rocks out of place. I have heavy clay soil, which is most likely to heave. If the rocks you have are reasonably flat, and you can take the time to wedge them so they are secure, and you are filling the bed with reasonably well-drained soil, and you don't have young children who will be jumping up and down on the wall, then a dry stone wall is probably fine. I would fill in behind and, if possible, underneath the wall with a layer of gravel, to help with drainage.
You might want to consult with a local landscaper specializing in stone walls before starting out. They may have some further tips for you, and if you decide to go with concrete between the stones, they can give you a "recipe". Good luck!
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