I've often wondered the same thing. I read recently that the way to approach them is to look for anomalies. Rocks that are unlike all the others; particularly large rocks, rocks shaped different from all the others. Because, well, think about it: if it's you wanting to hide something in your rock wall, wouldn't YOU think like that to help you remember where you stashed stuff?
Also, look for the entry way to the wall. Those can be tricky, because what looks like an entry might have been put there recently, not by the original wall builder (look for moss or water staining patterns for a clue).
One bit of stone I know you SHOULD check should you ever find one is a stone step, especially leading down to a cellar. People used to hide things under them.