Climbing wall tech - glue-on holds
One of the the least expensive way to make a climbing wall is to glue rocks directly to a preexisting wall. This works best on concrete walls such as a cinder block basement, the sides of buildings, or structures owned by certain depertments of transportation. Don't try to glue rocks to sheet rock - it won't work. You can glue rocks directly to plywood but this is not recommended as modular holds are a much better option for plywood. Also, gluing rocks directly to a plywood surface can result in peeling part of the plywood lamination off with the hold and you attatched.
GLUES There are lots of glues you can use for your glue-up wall. Two part epoxies are without question the strongest although other, less expensive glues can sometimes work. The ideal glue is strong but also very thick and tacky so it will help hold your rock in place until it cures. Regular, run of the mill epoxy that you buy at the local Wal-mart is very strong, but a bit too thin to work well unless thickened by adding Cab-O-Sil.

PC-7 is the traditional epoxy for gluing climbing holds onto walls. PC-7 is the stuff used by many departments of transportation for gluing reflectors to highways. PC-7 is available at most large hardware stores and comes in two parts which must be mixed 50:50 before using. The advantage of PC-7 for gluing on holds is it's thick, tar-like consistancy. Unfortunately this also makes it very hard to measure out and mix. PC-7 takes about a day to harden.

If you're in a hurry, the best glue to use is a liquid fast cure epoxy that you mix with Cab-O-Sil (powered silica thckening agent) right before using. This has a better consistancy than PC-7 and is much easier to prepare since you are mixing liquids and thickening the glue AFTER it is mixed. Also you can use 5 minute epoxy which makes it easier to attatch larger holds that need to be held in place till the glue hardens. If you are gluing up a LOT of holds, the most convient glue to use are cartridge glues that you can purchase at concrete product stores. Systems for concrete crack repair or anchor fastening will work great for gluing on holds - but they are expensive.

Polyester resin based adheasives such as Bondo can also be used to attach holds. Bondo is sold as auto body filler and is basically just Polyester resin with a fly ash filler. Bondo is not as strong as epoxy, has a noxious odor, and may not bond well to some surfaces - but it is relatively inexpensive. Polyester based resins require warm temperatures to cure so you can't use them in winter.

Take note that while there are other glues you can use besides epoxy, none of them are as strong so you can expect a few holds to come off in use. With epoxy, the bond is stronger than the substrate so if a hold comes off it usually takes part of the wall with it. Keep this in mind if you think you may need to remove the holds in the future.
What to glue on the wall - Although you can glue modular holds onto a wall quite easily (they already have a flat back) this is often a waste of money since you can usually find free rocks that will work great. Plastic holds really aren't suited for most glue-on applications. Rocks are much more durable and don't require the cleaning and maintence that plastic holds do. Plastic holds require a good dishwashing to restore thier texture after they get caked with chalk and you just can't do that if it is glued to a wall. Just about any concrete wall you choose will be vertical, yet plastic holds are best suited for overhanging bouldering walls. For a vertical wall, glued-on rocks will provide a more realistic climbing experience and are fine for working out the fingers and forearms (which is about the only training use for a vertical wall). If you desire plastic hold shapes like slopers, then gluing on acid etched CBC holds like synrock gives you maintance free holds that also won't polish with use.

Just about any rock type can be used on a glue-on wall. Keep an eye out for neat rocks when you go on climbing trips or in urban settings where crushed stone is used. If you can't find any suitable rocks for gluing in the area you live, try railroad beds as you can usually find these just about any where in the country (check out topo maps). Crushed rock such as found on railroad beds works very well for glue-on holds because it is relatively fresh (not chemically weakened) and has already been broken up along natural fractures in the rock so the resulting shape is usually quite strong. Railroad bed rock is typically limestone or a form of granite. Limestone will polish with use so it should not be your first choice. If you desire rounded holds, river rocks work quite well and are usually quite strong. If you use epoxy, there really isn't a limit to the size of rocks you can glue. I've climbed on marble sized pebbles that were very securely glued on. Bowling ball sized holds can be just as secure provided you find a way to keep the thing in place while the glue sets.
How to glue - It is important that the concrete surface you choose to glue be relatively clean and free of paint. Fresh concrete blocks don't need any surface preperation but old exterior concrete needs to cleaned first with a wire brush. Choose a rock that has a relatively flat back (won't wobble if lain on a flat surface) and apply enough glue to fill in any voids on the back of the hold. It takes a little practice to figure out just how much glue to use. If you use too much you will need to remove the excess from around the edges when you press the hold on the wall. Remember, you want to climb on the rock - not the glue. If you do insist on packing the glue around the sides of the hold like caulking, you can press sand into the glue before it hardens to give the glue a climbable texture.
If you are using a 2 part epoxy, make sure to mix up the stuff in a paper cup first. Don't mix the stuff directly on the rock being glued as you will wind up with a layer of unmixed glue on the rock and this will prevent a good bond. If you are using fast cure epoxy or polyester resin don't mix up more than you can use before it hardens. After you stick the hold on the wall you need to devise a system to hold the rock in place till it drys. The easiest method is to use lots of duct tape. For larger holds you can use 5-minute epoxy and physically hold the rock in place till it hardens Another method to hold large rocks in place is to place long Tapcons under the rock to keep it from sliding down the wall. Tapcons take a short time to place and can easily be removed and reused. A tapcon can also be used to hold a modular hold in place through the bolt hole (with a small washer). This is useful if you want to glue a route up a 30 degree overhaning wall on a mine colaspe. Don't even think about gluing holds on a natural cliff. It's wrong and everyone will hate you.
What do you glue things to?