Ilene...I would use cinder blocks
Cinder block or railroad ties either with rebar(lowest cost) you canalso buy stacking blocks that interlock
My vote is for any type of stone, rock or brick that enhances the property. Typically anything over 3' requires a permit, so before you begin, check your local Building code.
Paver blocks. Many weigh around 82# each, so you'll need help. Naomie is correct. Most areas have code regulations requiring professional installation over 3' tall. Further, you may need gravel behind and above the wall, and professional landscape cloth to preclude wall shifting during heavy rains, etc.
Go to the website of any of the magor wall block manufacturers such as Uni-loc or Allen. They provide a lot of info on what is required for different height walls and prep. Naomie and Olivia are correct when they mention local building codes covering your wall. You will need a permit, submit, drawings, and get it inspected. if you go it on your own, prep, footings, and drainage are the key factors. If you skimp on those, your wall will fail in a few years.
Hello Ilene. I don't know what kind of ground you are building on, but this link should help