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I am having some contractors build a window well for an egress window at my house. I have the option of doing solid concrete walls for the window well, or cement blocks (which he said he will fill with cement anyways). The concrete walls are significantly more expensive (about 1k more) so I am thinking of just going with concrete blocks, but are there significant reasons why I should choose the concrete walls instead and suck up the extra cost?

Also, do people typically put some type of drainage system in the bottom of the egress window well (sump pump or otherwise)? Is it necessary?

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Properly built cement-block walls are incredibly strong. They're mortared for vertical stability and wire stretched between layers for horizontal stability. As long as it's thick enough to hold the weight of the ground, then that's a fine solution. Actually, I'd find the minimum required for support and then go one step thicker.

Water will collect in this depression. Make sure it has some kind of sufficient drainage or you could end up with water coming in through your window. 12" of gravel at the base may be enough depending on the type of soil underneath -- check your local building codes.

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could you expand on what you mean by wire stretched please, and what you mean about being thick enough to 'hold the weight of the ground'? I think they are going to put gravel (1 foot as you suggested) and put the blocks on top but I have to confirm with them. it will just be earth/dirt underneath. –  n00b Oct 9 '12 at 17:53
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The wire looks like a ladder: The long edges run along the edges of the row of blocks and the "rungs" cross along the cross-braces of the blocks. It gets embedded in the mortar between the rows and thus the wire provides additional strength against the blocks separating horizontally. The wall is holding back the entire weight of the earth against it, which is significant. The ground may not be fluid like water but it is "fluid". Winter is the most stressful because the ground expands when it freezes and the wall has to be able to handle that pressure without moving. –  Brian White Oct 9 '12 at 18:12
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I leave the concrete questions to others who know better. My contractor, who built the exact same structure for me using concrete blocks (he's also a friend, so I think he did right by me) put in several inches of coarse bluesone gravel at the bottom of the well, a drain under that to a pipe that ran away from the house to a drywell that then had an overflow downhill.

The window well is a well! it gathers water that may have a hard time draining away from the house. If it doesn't, there is a pool of water creating hydrostatic pressure that may end up seeping through your basement wall right below the window.

Drain it away!

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