Pallet walls have been discussed several times on the main Hauntworld board.
Remember they are heavy, if you stack them and the wind blew them over on somebody...........
Pallets run the gamut. They may be made from wood so hard that you will have to drill a hole before it will accept a nail or a screw, the wood also can be very spilntery, bad for customers possibly running bare hands over it in a dark maze.
I would use a slege hammer and pound 2 by 4's into the earth, in the center of the pallet wall space to hold them up from both directions at the same time, then run a 2by4 across the top , screwed to the upright 2by 4 to tie everything together to give it as much strength as possible, customers may also be very scared or roudy and slam into your walls with all of their bodilly force.
Plan ahead and place thicker , stronger pallets across from your scare stations to absorb the impact.
If your walls are to be left up for long periods of time, I would place a couple of solid cement bricks (small ones, not blocks) under the edge of the pallet to actually keep the wood from making ground contact, resulting in premature rotting away.
This also helps if you might be making your path through the walls more all-weather with gravel or wood chips, making drainage under the wall because it it brick-elevated.