Hi!

I'm creating some little art for my game, and I don't know how should I make the walls...

I uploaded a pic which shows the 2 method, and I can't decide which one looks better in a game. I would go with 2, but it looks like if there was no wall there. I thought about dropping a shadowed, darker piece of wall instead of that "lines"

I'd go with #2. It's pretty common in 3rd person games, especially RPGs. Chrono Cross, for one:

Plus it's the safest bet since you're not occluding anything.

I'd think #1 is uncomfortable because of that - you get walls partially hiding things; How would you know if there is a 1-tile hole, or item etc. hidden by the walls.

Many games go for number 2, and you're able to walk "behind" the forward wall. Some games add a graphical indicator around the "lip" of the cieling (beams or shadowing) just to avoid feeling like an abrupt end. I think that look is a bit more finished, but its not necessary. I actually find #1 more jarring, unless its a place I can actually visit in-game -- otherwise, why does the player-character know or care how the wall looks over there.