Just thought I'd add my comments to this as its something I actually feel qualified to comment on for once
Bacteria can have cell walls, but don't neccessarily have them, if they do they typically fall into the gram positive or gram negative style as shown in someones post above. All bacterial cell walls are composed of, primarily, peptidoglycan, which is a really cool polymer. The outer most surface of the cell, whether it has a cell wall or not, is generally the S-layer a glycoprotein coat that has lots of wierd and wonderful things in it.
Of these components (Membrane, Wall and S-Layer) only the Membrane is always present. In Bacteria this membrane is made of ester linked phospholipids in a bilayer. Without a membrane there is no cell, it defines the cells outer limit and is essential for the life of the organism.
Eukarya; Animals, Fungi, Plants and Protozoa are all largely similar with ester linked phospholipid bilayer mebranes similar to those of bacteria. They can have cell walls, in the case of Fungi, Plants and some Protozoa. These cell walls are typically made of either cellulose or chitin.
Archaea, a domain of prokaryotes distinct from bacteria, can have cell walls, but most don't. Instead archaea commonly have a particularly well defined S-layer which acts to give structure to the cell. They also have phospholipid bilayers, however, unlike those of Bacteria and Eukarya they are ether linked, which leads to archaeal membranes having many properties dissimilar to the other two Domains.
Viruses come in various forms, the parts common to all are the nucleic acid (which can be RNA or DNA) and the capsid, a protenaecous coat that covers the nucleic acid. Some viruses co-opt cell membranes from their hosts to form an envelope, but this is not a true cell membrane nor cell wall.
On a side note Prokarya is not a domain. The Domains are Eukarya, Bacteria and Archaea.