Am I dreaming or can you actually build "into" a wall and place shelving there. Say, maybe take out a 3x4 section of drywall, leaving the studs to be your shelf supports and creating shelves withen the walls?
I would think that you would need to take into account whether or not it was a load-bearing wall, and then frame out the section you removed accordingly. You would need to frame the cripple studs you created.
Also, how thick is the wall? A 2x4 frame wall wouldn't give you much shelf depth.