Unique question here...am going to put the epoxy pebble stone floor in eventually. Want to use the inside wall for a flat screen and entertainment center. Basement is dry, with cinders.
I would suggest that you plan out the entire basement before you frame the one wall. Figure out what you would like the entire space to become (eventually) and make sure that the one wall that you are framing will fit in with those plans, or at least is flexible with future plans. It's not fun down the road having to rip down sections of a new wall to accommodate new plans, ESPECIALLY if you were the one to frame the first wall.
While you are at it, make sure to run all the cables and future proofing items that you would want in the future in this one wall, or provide an easy way to have them installed. Install conduit (if possible) for power and another for telecommunications (Cat5e/Cat6, Telephone, etc). If you don't want to run conduit, at least pre-drill the holes, and leave a pull string in the holes to help with fishing wires. I wish I thought of this before finishing portions of our basement.
You can certainly frame and finish just one wall. Obviously you won't see substantial benefits if you insulate. It would be nice for in-wall electrical and easy mounting of fixtures.
That said, You wouldn't have to go to all that trouble just to mount a tv. Concrete screws (Tapcon) and the right brackets would make quick work of setting up an entertainment center if you're ok with painted block as the wall finish. Concrete block drills easily when using appropriate bits. The challenge would be setting up wiring in an aesthetically pleasing way, but that's possible as well.