Gas wall heaters are commonly convection heaters, meaning that unlike radiant heaters which heat up objects in the room, gas heaters actually heat up the air in the room and make the entire room warm and great to walk into from outside, during winter! It is possible to find radiant gas heaters, which work by heating up ceramic coils inside the heater, though the convection gas wall heaters are more popular.
The majority of gas wall heaters these days are vented, meaning that there is a pipe leading outside from the heater which brings fresh air from outside in to the heater so that the gas has oxygen and can burn, and also expels fumes from the burning gas back outside into the open air. You can find ventless heaters as well though these are more uncommon mainly because of safety reasons. These days, ventless wall heaters come with an oxygen depletion sensor that can tell if the oxygen level in the room drops dangerously. If using a ventless gas wall heater, it is also imperative to have a well ventilated room.
Gas wall heaters heat the entire room, including the air and this heat is usually disseminated around the room by use of a fan attached to the gas wall heater. They are popular heaters for rooms that are used often during winter months, such as living rooms and they can also be great to have in a bedroom too. Great for areas that are on city gas, they are also a real boon for those times when the electricity shuts off as most gas heaters can operate without needing electricity.
If, by chance, the pilot light does go off you will need to relight it, via a utility (or long handled) lighter and not a butane or normal lighter. You should also turn the gas to your heater off at first and then turn it back on again just as you go to re-light the heater. Of course, some heaters start the pilot light via the use of electricity. All heaters should automatically shut off the gas if the pilot light goes out for any reason.
Gas wall heaters come in different sizes, calculated on the amount of air they will need to heat up or the size of the room. They are generally safe to leave on while you step out for a few hours, providing they have safety features built in, though you should probably turn them down to a low heat so as not to waste gas and energy.
It goes without saying that if you plan on installing a gas wall heater, unless you really know what you are doing you should have someone who is qualified to do the job come in to install the heater rather than doing it yourself. In fact, in some places it is required that you have gas heaters installed by an authorized technician.